What does “unsaved photos from Messages” mean?

When I try to favorite a collection that Photos on my iPhone recommends to me, I get a message saying that I have “unsaved photos from Messages which you need to save before continuing”, and am unable to proceed:

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What photos? Where can I find them? What does this mean? How do I proceed?

Answer

Attribution
Source : Link , Question Author : orome , Answer Author : Community

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