Well this is because my sister and I often send direct messages to each other on Instagram. We do it almost every day. One day, my direct messages were too much on her account. Other messages from her friends were buried. In order to make ‘the other messages’ appeared on top again, she did ‘ignore all posts from this user’ to me (instead of ‘hide’ my direct messages). Voila! ‘The other messages’ appeared on top again!
But another problem began. She couldn’t receive direct messages from me anymore (but I still could receive direct message from her). She searched the solution on internet but she found nothing! I searched on Instagram's website but (again) nothing! OH-MY-GOD EVEN INSTAGRAM COULDN’T SOLVE OUR PROBLEM! LOL. So my sister did random action by blocking me and then unblocking me. Guess what happen next? SHE CAN RECEIVE MY DIRECT MESSAGE AGAIN! WOOHOO!
The solution is that simple? YES!