Focus - Do Not Disturb

I am trying to set up Do Not Disturb so that I can receive phone calls from my favorites lists when Do Not Disturb is active and to block text Messages, I set up a Sleep Focus, I have a list of favorites, selected APP silence notifications from Messages, marked Time Sensitive Notifications Off and set the schedule the same as Do Not Disturb.

I still receive text notification during the Sleep Focus and Do Not Disturb times.