How do I stop 'Immediate Alert' and 'Critical Msg' spam on iPhone?

These are scams, sent to you by some person or company trying to panic you into either buying some useless app, subscribing to some useless and largely fictional "service", or giving them your personal information. You can try blocking the number, but since these scammers are using multiple and usually fake numbers, blocking a given number may do little good.

For useful reading, see:

Recognize and avoid social engineering schemes including phishing messages, phony support calls, and other scams - Apple Support

Regards.