Alert Notifications for messages off.
I figured it out. You have to look under Focus!! It seems with this new iPhone 13 I have to go back and do all these settings over again.
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"Focus" has replaced "Do Not Disturb" in iOS 15. It offers a lot more options to customize how and when you are notified.
See here for more information:
Use Focus on your iPhone, iPad, or iPod touch - Apple Support