You most likely see these messages in Immediate Window because you have set Redirect all Output Window text to the Immediate Window in Tools - Options... - Debugging - General. That's why when you right-click in Immediate Window, you cannot see any option to disable messages. It's Output Window text and thus you need to set it in the Output Window. So open Output Window, right-click and uncheck Exception Messages from context menu. Simple but it took me one hour to find it.
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