All the answers are in the Apple Support document linked above your name. Assuming that you have installed iOS 16 on your phone........
The message would have had to have been deleted......after.....you installed IOS 16 on the phone.
In addition, if the message was deleted......after.....you installed iOS 16......no more than 30 days must have passed since the message was deleted. If it has been more than 30 days, the message has already been permanently deleted.
If you don't show a "Recently Deleted", you don't have any messages that meet the qualifications.
As a test, you can delete an unwanted message. Then check to see that it now does appear in Recently Deleted.