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It is Instagram's behaviour, not a setting: a message from a business to someone who does not follow that business lands in the Requests folder.
Your automation ran, the send succeeded, and Instagram filed it where it files first contact from an account the person has no relationship with. Nothing on the sending side moves it. Once the person opens the request and replies, later messages in that thread go to their normal inbox.
Why it is so easy to miss during testing: you almost certainly tested with your own account or a colleague's, and both follow you. Test with an account that does not follow you and you will see the real path.
What actually helps:
- Say it in the public reply. "Sent you a DM, check your requests if you do not see it" costs nothing and recovers most of the loss.
- Say it in the caption too, for the posts where the whole call to action is a comment.
- Give people a reason to reply rather than just read. A question or a button in the first message turns the request into a real conversation, and everything after it lands normally.
This is also why comment to DM works better with an audience that already follows you, and why the same flow on a viral post reaches more people but converts a smaller share of them.
The Connect Instagram article notes the same behaviour in the delivery section.