Why do scammers tell you "respond with Y, then re-open the SMS and visit the link"? Because they've learned that Apple and others will disable links in messages from stranger numbers. But once you start talking to someone, your messaging app thinks they're your new best friend.

Reason 2: Apple & others will switch the scammer to "known contact" if you respond with anything. This will unblock the malicious links in the SMS to the sites where the scammers demand fees to 'release' a package, settle a warrant, &c.

Reason 1: The senders still won't stop. They will know your number is real & you read their message, so they (+ those they sell to) will send even more.