... and when you unlock it takes you to that message and allows you to reply.
Point being it takes you right to the message in the messaging app instead of unlocking to wherever you were last and you having to go find the message.
You're not thinking a locked phone would let someone go into your messages and reply whatever they wanted to were you?
BTW, the Settings->General->TouchID&Passcode->ReplyWithMessage toggle is for when you receive a phone call; it allows you to reply with a pre-set message.