Yes, It seems harmless, but responding to a scam text message once you've realized it makes you an active target and usually worsens the problem. By replying and starting a conversation with cybercriminals, you confirm that your number works and that there is someone behind it willing to interact, so you may end up receiving more attempts, more pressure and more spam.
The clear recommendation is not to reply, not to click on links and not to try to 'troll' the scammer. The correct action is to block and report the message, and if you want to check if a warning is real, go to the company's official website or app yourself, never from the link in the SMS.
In recent months, experts capable of tricking the scammer have increased, turning the tables. Este fenómeno se conoce como “scambaiting”.
The scambaiting no es para usuarios sin experiencia, porque exige identidades falsas, números alternativos y muchas precauciones técnicas. En resumen para el ciudadano común: ignorar, bloquear y denunciar funciona mejor que responder, porque reduces el riesgo de que tus datos circulen más o de que te conviertan en un objetivo más fácil.
Fountain: Engadget