In my OneDrive I have always had a folder (that I did not create) that houses all the documents that are shared by / shred with me via Private Chat. It is actually titled Microsoft Teams Private Chat
The person I was working with is active in Teams, has files that have been shared by her and with her in Private chats in Teams but she does not have the same folder. They just appear in her shared by her and shared with her views.
The teams chat folder is normal! I suspect this is created when you share a file in Teams private chat that’s not on onedrive! Then it will auto upload to Onedrive prior to sharing it , and creates that folder! If you just share a file that already exists in Onedrive, I believe it won’t move that file
The folder will only exist and contain files when you use the Upload from computer option in private chat. Everything else will just be a direct share to the file in OneDrive which will in turn show up in the OneDrive UI Shared with/by Me views.
Usually this is best practice considering most people now use Known folder move and their files exist in OneDrive from their computer and it's best not to duplicate by uploading. So unless that person has ever chosen to upload from computer in a chat, they won't have the folder.