No. Neither you nor the intended recipient's identity is being compromised in any way.
The intended recipient simply entered the wrong email address or phone number – which happened to be yours – by mistake.
We do require email validation at e-file; which means, that in most cases, if anybody entered your e-mail address by mistake they will be forced to correct it when they attempt to e-file. You can delete the messages. Always feel free to contact us if you have any concerns about your privacy.