Which version you are using?
This settings apply for messages sent after this settings. So if any message sent before this settings then they will show.
As you set to block reply, they can sent/start a new message (as your screenshot shows first message which is not a reply).
Also check if any user is whitelisted in Front End PM PRO > Settings > Security
Now check if that user (which is blocked) can send a reply to that message.
Let me know.