One possible way is to report that chat as spam.
From Facebook Help Centre - report a conversation as spam:
Open the conversation and click three vertical dots.
Click Something's Wrong.
Select Other > Spam.
Click Send Feedback.
Are you using the FB Messenger app or through a browser? In either case this would have nothing to do with user settings that you set. This sounds like an actual bug in Messenger, especially if you're using the app version for Android or iOS. If you're using an app try uninstalling the last update (i.e., reverting to the previous version of the app) or ...