Turn off in settings.

Open NetEase Cloud Music on your phone, enter the app homepage, and click the three horizontal icons in the upper left corner. Click the Settings option in the pop-up menu on the left. After entering the settings page, click the message and privacy settings option below. After jumping to the message and privacy settings page, you can see that the options under the notification settings category are all turned on by default. Click the switch to the right of the option to turn it off, and you will no longer receive message notifications.