@FramedByLisaC: Probably everyone in this forum can sympathize with you but a quick search would show you the innumerable threads about the exact same issue in this forum. Whether it is right or wrong, or fair or unfair as it says right on your Star Seller page, you need to reply to the FIRST message of EVERY NEW INCOMING THREAD. It does not matter who sent it, the subject matter, if it is a duplicate or blank or anything else. If it is SPAM then it should be marked as such. Those have always been the rules.
Etsy is now putting a blue text warning / advisory (blue banner on desktop, and a blue dot on mobile) on those messages they consider to be a "new message" but should semantically be called a "new thread".
If the unanswered message is not a Help Request, at least for the time being, it appears that marking an unanswered message as SPAM (even after the 24 hour deadline has passed) will cause your reply percentage to change in a day or two if the original message was within the current star seller period (but not retroactively). Note that subsequent messages from that account may go directly to the SPAM folder.
