People you follow can message you and their messages will appear in the main tab.
Messages from people you don't follow go to your Requests inbox. To see these messages, go to the Backchannel and tap on Requests at the bottom of the screen. From there, you can tap in to see the content, or not open them if you'd like.
The default is that anyone on Clubhouse can send you message requests. You can turn this setting off and only receive messages from people you follow by tapping the three dots at the top of the Backchannel.