"Shared with you" photos not showing in Photos Library

Have you enabled your Photos Library as your System Photos Library?

You will only see shared with You in your System Photos Library.

To check this, open Photos, if it is not running, then open the Photos > Settings > General and click on "Use as System Photos Library", if this button is otherwise dimmed.

Then restart your Mac and Photos and Messages and check, if you can now see the "Shared with you " photos.

Do you have in the "Sharing" section at the bottom of the left sidebar in Photos? Mine has "Shared Albums", "Shared with You", and "For Your Shared Library", but each has preconditions and might not appear in any given library. Assuming anybody has sent you any images since you enabled content sharing in messages, you would appear to have met the preconditions for "Shared with You" under Sharing.