Every time someone asks me this question I am amused and annoyed at the same time.
There are a few special cases in which this isn't a blindingly stupid question. Like if you've only just recently met this person and have never gotten a message from them. Or if you've been in so much contact with them that every message is followed up with a conversation.
But in the general case, how can there be any real answer? I can say "I got the last message I got. Did you send one after that one?" Which is also no help, except maybe to point out the absurdity: how can I know about a message unless I got it?
The right question of course is "Did you get my message about the meeting minutes?" Or whatever; enough to identify which message. Then you can just answer.
Makes me want to make stickers that say "If this has fallen off this letter, notify your local post office immediately" and stick them to envelopes. Or leave some around not stuck to anything.