I’ve just gone and changed the setting, even if a factory reset fixed it - it would still be fucking annoying to have to do it.
https://kotaku.com/ps4-users-are-claiming-that-malicious-messages-are-brea-1829733128
Edit: Seen a few further comments (Reddit) that either deleting the message via the mobile app or rebuilding the database worked, so if you do encounter this issue search online for some tips before going straight to the factory reset.