In Settings / Privacy and Security / Blocked Users there's a "+ Block User" option. Clicking this brings up a list of all chats and people who have messaged your directly. Selecting a name blocks a user.

Maybe even easier is pressing and long holding the name of someone who has sent you a message. In the vertical dots menu is then an option to block the user.

I'm running v7.1.3 from F-Droid.

I do agree though that an option to block direct messages from those not in my Contacts, or at least some kind of review process to allow a specific message from someone not in Contacts, could be a nice addition.