Just migrated to Win 11 with this feature being one of the reasons. (not avail for Iphone on Win 10). Was having all the same issues everyone else was having. But definitely, along with all the other settings they say you have to have set, you ALSO have to have..... Settings-Notifications- Scroll down to your Messages App- Under Lock Screen Appearance - Show Previews - Select "always (default)". I tried it with it on and with it off and you HAVE to have Show Previews- "Always (default)" selected. Very annoying if you don't want everyone being able to see a preview of your messages on your lock screen.
Even so this is a glitchy app and sometimes messages don't appear even if they aren't group messages. And if you don't see any messages in the "your messages will appear here window" make sure to click on the messages icon on the very left of the app where all your other notifications are. Sometimes it seems like you have to do this each time a message comes in to see it.
Regardless, this app is a very useful feature if you work from home and don't want to constantly to check and respond to all your messages using your phone. So Microsoft please keep working on and refine this App!!!