Prevent someone from sending me messages.

Good evening, so here it is, I had used an option in "who can contact me" that said "Strict filtering: mainly your friends, you might miss messages from other people you might know", so I thought it prevented anyone who is not on my friends list from sending me private messages, yet tonight someone sent me one even though I don't have them in my friends.
So I would like to know if there is a function that prevents ALL those who are not on my friends list from sending me messages, without blocking them one by one because I cannot block the entire world.

I know that if I had someone on my friends list, we sent messages to each other and then I removed that person, they could still message me by replying to previous messages, yet some people have removed me from their friends list and I could no longer reply to them, so I can't find where I can set that up..