Como mencionado no aplicativo de mensagens do Windows para perguntas frequentes :
How do I block people from sending me messages?
You can't block people from the Messaging app—the app's just a hub that helps you stay in touch with your Messenger and Facebook friends.
To delete a Messenger contact or prevent them from reaching you, go to your contact list online and tap or click their name.
To block Facebook friends, go to Facebook's privacy section online.