Do NOT click on the little messages icon beside the world with the number of notifications on it. That won't take you to this folder. Instead be sure to click on the word messages underneath News Feed, as shown above.
That will take you to a page like below, but it will show your regular messages by default. See at the top left, beside inbox, the word "Other" - click on that. That will show you the messages from people not on your facebook friends list. Today all mine shows is a spam message, but I frequently receive genealogy messages in here, and have had some messages from friends in here.
From the facebook Help Page:
How do I change my filter preferences for my messages?
You can change your filter preferences right from your inbox:
- Go to your messages inbox
- In the upper-left corner of your messages, click Other
- Click Edit Preferences
- Select Basic or Strict filtering
- Click Save
Messages that are filtered out of your inbox will appear in your Other folder. If a message you're not interested in gets delivered to your inbox, select Move to Other from the Actions menu.