This is very much phone dependant - I have several phones paired to my BT module and only one (a Sony Ericsson T630) will pass the SMS data onto the car to be displayed.

Its actually quite cool - I suggest you see if anyone has a T630 to try to validate the car is set up correctly. It may also depend on what generation of ULF module you have - I believe I have a Gen_5 module which I had swapped out ILO a Gen_2 module under warranty as the Gen_2 wouldn't pair/work with much.