Never seen that before. Do you happen to have your messages folders separated? For instance I have my SMS/MMS specific to only that folder and not showing in my messages folder, where I only have my email accounts set to show up, then I hide my individual email account folders as each message says to which account it was sent to within the message header.
Anyway, if such you can at least determine what type of message it was, thus giving you a more refined scope. Honestly, I've never even heard of this, and like you I too would be very cautious and curious as to the intent and/or purpose of this, but not knowing who or where it came from really gives you little to go on.
Have you tried replying to it? Perhaps in a reply message you will see some sender specific information...?