If you receive a message from a new Session ID, these messages will appear in their own separate area, above your regular messages, so that you can differentiate them from your regular conversations and groups.
You will then have the option to accept/deny this message request, depending if you wish to speak to this Session ID.
If you accept, the conversation will then move to your regular contacts area.
If you block the request, the message will be removed.
You can also find your message request folder in your app settings. On mobile, just tap your profile picture. On desktop, navigate to the settings icon on the left hand side of your display.