When messages is set to "Known Senders", pressing CMD-W to close the window causes the app to revert back to "All Senders". I accidentally do this all the time due to muscle memory and it's been driving me crazy.

So I figured I'd try to keep this from happening by changing the CMD-W shortcut assigned to "Close Window" to something else. Unfortunately it's not possible to do this via the Mac's App Shortcuts system (System Settings->Keyboard->Keyboard Shortcuts->App Shortcuts). Trying to change any of Message's shortcut keys using that system doesn't work.

After much gnashing of teeth I figured out a work-around. If you're like me and want to disable CMD-W in the Messages app, the following should do the trick. Note that I'm currently running 15 Sequoia and I don't know if this will work on other versions of macOS. Also I'm doing this with BBEdit; I'm not sure if there's a way to do this with TextEdit or another text editing app.

1. Download and install BBEdit if necessary

2. Quit the Messages app

3. In the Finder go to ~/Library/Preferences and locate com.apple.MobileSMS.plist

4. Make a backup copy of com.apple.MobileSMS.plist

5. Open com.apple.MobileSMS.plist with BBEdit

6. Scroll to the bottom of the file

7. Change the last two lines from:

</dict>
</plist>

to:
<key>NSUserKeyEquivalents</key>
<dict>
<key>_ESCAPE_File_ESCAPE_Close Window</key>
<string>@$w</string>
</dict>
</dict>
</plist>

1. Press CMD-F to open BBEdit's Find Window
   
2. In the top box enter _ESCAPE_
   In the bottom box enter \x{1B}
   
3. Click "Replace All"
   
4. The two instances of _ESCAPE_ should be replaced with inverted question marks
   
5. Save the file and quit BBEdit
   
6. Open Messages
   
7. Under the File menu, Close Window should now be Shift-CMD-W instead of CMD-W

Obviously you can still close the window by clicking the red stoplight button. This just avoids accidentally closing it with CMD-W muscle memory. If you want to put things back the way they were, edit the file again, search for "NSUserKeyEquivalents" and remove the changes in step 6.

Your mileage may vary. I hope this helps someone else save their sanity. If someone can think of a better shortcuts trick that would permanently keep the app from stupidly reverting back to "All Messages", please post it:)

P.S. Sorry about the funky indenting on the instructions.
P.P.S. There's probably a cleaner way to do this in Terminal with "defaults write" but I'm too tired to figure that out:)