Locked screen
Why do I not get messages when my phone is on lock
iPhone 11 Pro Max, iOS 15
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Top-ranking reply
Ensure that all of the Focus modes on iOS 15 are set to OFF. Open Settings ➔ Focus: Go through each Focus modes and ensure that they are set to OFF.
The other thing is that do you use an Apple Watch? If you do, then the notifications are going to the Watch when your iPhone is locked.
Axel F.