Direct messages don't always give notification.

You can log in on this page and find that information:
https://enforcement.xbox.com/Enforcement/ShowEnforcements

If there is no enforcement action in place then try this:

Go to
https://account.live.com/proofs/Manage
look under "Security info helps keep your account secure" and make sure they have a phone and email listed.

If any are missing please add them. If Any ARE listed delete and re-add them. And Save Changes.

Then Restart Console Scroll left on the Home screen to open the guide. Select Settings. > Select Restart console. > Select
Yes to confirm.

Once the Console Has restarted you should be able to send messages.

Yes, I have notifications on but still does not give me the invite message.

I am able to receive ALL notification EXCEPT messages. As explained before, I can check or uncheck any and all boxes regarding notifications; but it doesn’t matter which “combination” of checked boxes I use the “messages” one ALWAYS becomes unchecked.

I have blocked them and reported them seems I always end up getting a message notification from the player

you don't reply to the person

If you do you will unblock them

Retailiation isn't allowed

Bots are always going to pop up. Get rid of one and two more replace it. I just ignore the notifications about getting a new follower. If they don't constantly send messages I forget about them and carry on with my day.