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Hi,
Is it messages that you have received from a person that is not in your contact list or do you mean that you have the number stored as a contact in your phone? If the number is stored for a contact in your phone, you need to edit the contact and remove +44. You can edit a contact if you go to Contacts > Tap the contact > In the top right corner you have a pen, tap it > Remove +44 and when you are finished, tap Save.
In the conversations that you have +44, I suspect that the counterpart has sent the first message to you and not vice versa? In those cases, the number will be displayed with +44 even if the contact is stored without +44. You could always delete the conversation and send a text message to that person and your conversation should now display without +44.