The main difference is that mRNAs are mostly in the cytoplasm, whereas many lncRNA show a nuclear or mixed localisation. Do you know where in the cell your lncRNA is localised? LncRNAs which are located in the nucleus are often quite resistant to siRNA/shRNA-mediated knockdown. For nuclear lncRNAs, you can sometimes have more success with locked nucleic acid (LNA) reagents than siRNA, but in our experience this is certainly not guaranteed. To be really clean, the best approach is to use CRISPR to remove the promoter of the lncRNA gene.
Here is a paper that may help on platforms for investigating lncRNA functions:
Article Platforms for Investigating LncRNA Functions
I will warn it mentions that "it must be noted unlike protein coding mRNA, changes made to the sequences coding ncRNA tend to be ineffective as mutations in the 5' end of the ncRNA may not affect lncRNA activity.." I hope this is able to help.