When I use some applications or log into some of my accounts, they want to verify my device by sending me an SMS message with a verification code. I have never been able to receive these types of messages and I haven't been able to find anything in the settings to allow them.
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I do have some specific numbers blocked, but they shouldn't be the same number that this application uses. Also, it definitely shouldn't apply to all applications that use this form of verification which likely send those messages from different numbers. There is also no block that I'm aware of against spam or unknown numbers in general.