OK, I've found what you're seeing. It's one of the lock screen options that you can set. If selected it will show a summary of sms, email and other message services. You get to it by touching on the clock on the lock screen and sliding your finger to the right.
If you no longer want it on lock screen press and hold on the box and drag it to the bin at top of screen.
I have no affiliation whatsoever with O2 or any subsidiary companies. Comments posted are entirely of my own opinion. This is not Customer Service so we are unable to help with account specific issues.
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