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re: "Is there any harm to my profile now from upwork? I was not even hired by her. "
It is impossible for a client to do anything to harm your Upwork profile if you have never been hired by her.
JSS (Job Success Score) is calculated ONLY from jobs you have actually been hired for. Chatting with clients or being interviewed by clients without being hired has no impact.
re: "What should I do?"
Block her in the Upwork Messages tool so that she can no longer communicate with you.
There is no way that you can benefit from continuing to communicate with her.