You made a mistake by merging accounts. Read this article --> Make sure that each family member has a unique Apple Account - Apple Support You won't be able to keep those things separate unless you do things such as not use iCloud photos for backing up your devices. I don't know about messages but I suspect they will unavoidably always merge, as will Contacts.
Yes, I know people don't like AppleCare One not having Family Sharing. Actually to me not have shared policies makes perfect sense because you are each fully using your own iPhones with all the risk that entails for having two devices that could be dropped or fail during use. It makes sense for an individual since if you have an iPad and an iPhone it is unlikely you would be using both at exactly the same time. Spilling coffee is likely to only happen to one device. If you both have your iPhones on the table it could spill on them both.