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Faceook's "Other Messages" Folder
Updated October 2012

Facebook has a junk/spam folder called "Other Messages" - The reason for it is to help prevent spam. If someone who is not on your friends list sends you a message, this is where it goes, and you are not notified about it being there. If you are curious, go check it now... You might have messages that you have never seen waiting for you there.

But it all depends on how you have your contact settings set as shown here:

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