Mute and vibration sound profiles are independent: I can enable DnD on my device and set it to loud, and it’ll still make noise on incoming calls and notifications. DnD just allows fine tuning of a lot of things related to those sound profiles, e.g. exempted apps, hiding notifications, illumimating the notification LED, toggling DnD on a schedule, emergency call bypass for certain contacts, what system sounds are permitted etc.
Persistent notifcation behavior is a bit different, but FB Messenger shouldn’t be using those… so I’m making the assumption that OP’s issue is due to the manufacturer modifying the DnD behavior on that android rom