What do you mean by downloading anonymous short messages?

Because it contains MMS content, you will be prompted to download it.

The received anonymous short message needs to be downloaded because it contains MMS content, so it can't be read in the form of short message, and it must be downloaded now, so there will be a requirement for short message to be downloaded.

Short message: ShortMessageService, referred to as short message service, refers to the text or digital information directly sent or received by users through mobile phones or other telecommunication terminals. The number of characters that users can send and receive SMS at a time is 160 English or numeric characters or 70 Chinese characters.