Three dots but no message in iMessages
The 3 dots indicator appears when a user is typing and they have enabled the "Show typing" setting. However, they may start typing and then decide not to send the message, or stop to do something else, and therefore the message is never sent. The 3 dots indicator is not an indication that a message is incoming, simply that the user is typing.

The indicator only appears when they are typing a message specifically to you. It does not trigger when they are typing messages to others.

However, the indicator can get stuck if there are network errors or slowness, if the server is overloaded or has stale data. In practice, it can remain stuck until you get another complete message from that sender or you decide to delete that conversation.