Think of it as your Facebook spam folder, except it doesn't only collect spam. It's where messages sent to you by strangers or people you aren't 'friends' with are stored. It's something you probably haven't noticed, and Facebook has purposely made it somewhat hidden.
In your Facebook Messages inbox there is an 'Other' folder or tab. J— - You might be getting Facebook messages you didn't know about and you might actually want to read them.