Notify when receiving message request

When someone sends a message to me in the DM, it does filter in message requests sections. I'm also able to see it as well when I open it manually. The issue is there's no notification or any sort that notifies me that I've got a request or anything to be honest. I was in a situation where there were many people in the Voice channel and 1 person had to send a message privately, but then the conversation just continued and I forgot about the message since I wasn't notified or didn't get a notification sound.

This issue applies on iPhone and Windows.

I'm not against the feature as I find it very useful. Just a suggestion to include an option to disable notifications for message requests.

Anyone else finds this issue annoying?

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