gustavoacab Is there a way to check for integrity of my device?
The first step would be to reboot the device and, when it comes to the yellow-triangle "different operating system" screen, press the power button briefly to stop it there. Then compare the "ID" which is displayed to the appropriate GrapheneOS signing-key hash for your device. Take the time to compare it completely, or maybe have somebody read the hash from the web page to you while you check what's on the screen. If you get the right answer, the OS on your device is legit, with a level of certainty which is much higher than for most Android devices.
If you wish, you can increase your degree of protection by following the directions for the Auditor app.
It's hard to know what to make of the MMS that your device isn't displaying. I have seen the default GrapheneOS Messaging app download an MMS but not display it -- it was something completely legitimate that I had sent via my carrier's e-mail-to-MMS gateway, though I don't remember what it was. Also, just because an MMS appears to come from +55 1105 doesn't mean it actually did, because there is a lot of SMS/MMS spoofing.
If you want, you could try using SMS Import/Export to dump your SMS and MMS messages to JSON, and then dig through to find the one that you are asking about. I'm not a forensics expert, so I won't make suggestions on that front.