There are 3 places where a Customer can specify what message severity level they want to have appear.

In SMMSYSxx following MSGLVL=

In SMFUNCxx for each function, following MSG=

In SMFLSTxx for each function, optionally in each SET statement, following MSG=

What overrides what?

Each setting is successively more granular.

MSGLVL in SMMSYSxx is overridden by either/both of the MSG settings in SMFUNCxx and/or SMFLSTxx.

MSG in SMFUNCxx, for each of the functions, may be overridden by the optional MSG setting in each SET statement in SMFLSTxx, for each function.

MSG in SMFLSTxx, if present, overrides SMFUNCxx and MSG in SMFUNCxx overrides MSGLVL in SMMSYSxx.

In SMFLSTxx, if MSG is not specified, the MSG setting in SMFUNCxx is the default.

In SMFUNCxx, MSG is required.

In SMMSYSxx MSGLVL has a default value of I (Informational).  MSGLVL may apply to other things beyond the Functions.

Messages are inclusive of increasing levels of severity. When a particular level is chosen, messages of that level and greater will be printed.