I see what you're saying here, yeah.
Digital etiquette has evolved a lot. Typically, these days, sending a message in your DMs is less like pulling you aside for a whisper and more like shouting inside your living room. The culture that's grown up around power-tripping mod bans, scams, and other awful shit has made messaging someone privately a delicate matter.
This person is being polite by knocking on your door to announce that they're already in your living room, and asking permission to speak with you. I see this as excellent behavior, filling a glaringly bad gap in user privacy protections on other platforms. They're being decent about an intrusion that's a (tragically common) built-in design flaw of the app.