The fact is that these messages sit in purgatory until you either accept or reject the connection or respond to one of the filtered conversations.
If you want to have a look at this mysterious cavern of lost connections, here is what you do:
1) Open up Facebook
2) Click on the Messenger icon at the top right, then click "See All" at the bottom
3) At the top left in black you will see the word "Recent". Next to that in light grey is "Message Request". Click that.
4) Additionally, you can click the "More" button and select filtered. You will find all kinds of lost treasure in their, mostly useless trinkets, but possibly some gold.
My digital dumpster dive resulted in some interesting finds, including a new client in Chicago and a marvellous story from a fellow portrait artist in Louisville, Kentucky.
Best of luck with your treasure hunt.