@AmyLouise: Please try swiping up from your Home screen and heading to Settings > Apps > Facebook Messenger > Notifications > In-app notification settings, and explore your options from here. Furthermore, tap the Back button, select 'Notification categories' and each category to your preference.
You could also try heading to Settings > Notifications > Advanced settings > Show notification icons > All notifications, to see if this helps to populate the drop down notification menu. It may be the case that notifications are being grouped together, therefore please tap the drop down arrow to the right of the notification to see if multiple messages are visible here.
