When I received the message, some had +86, and some didn't. What does this mean?

Because the number of the SMS center starts with +86, +86 1380? 1500, with three question marks in the middle as the area code of each city.

As long as there is no stored number in your mobile phone, when you receive a text message, +86 will be displayed in front of the number, which is only the default setting of the system.

it doesn't matter

But you can still send and receive messages after removing +86.