Has anyone received a message saying your phone is infected with a Trojan virus and immediate action is required?

In addition to ckuan's comments, you may want to keep this support article handy:

• Recognize and avoid phishing messages, phony support calls, and other scams - Apple Support

Scams/phishing attempts are sent everyday by criminals and if you are naive you will take it seriously and that's what they want.

Ignore and delete and do not engage.