Messages app on iPhone do not play alert/vibrate for SMS received from some numbers
iOS 12 and macOS Mojave introduced a feature called Secure Code AutoFill which lets you conveniently fill the security code/OTP in the active text field when one is received via SMS.

If you use a Mac which is linked with the same Apple ID as your iPhone, and you have enabled Text Message Forwarding under Settings app → Messages, the secure code/OTP generally send by your bank can be easily entered in the appropriate field with a simple mouse click.

You can read about the feature in the linked article:


How to Use Secure Code AutoFill in iOS 12 and macOS Mojave



  If you've enabled Text Message Forwarding on your iPhone, you can use the Secure Code AutoFill feature in macOS Mojave, too. The code should appear in Safari as an AutoFill option in the relevant field as soon as the SMS is delivered to Messages on your Mac. 
  
  
  
  iOS and macOS use local data detector heuristics to work out whether an incoming message carries a security code, and Apple says the Security Code AutoFill feature does not alter the security of this two-factor authentication method.


If you have such a setup, your iPhone doesn't play any sound or vibrate for the received message, and the SMS is automatically marked as read on your iPhone.