I have been travelling in Italy and now Malta, with a Telstra account. I have not taken the $10 per day Telstra roaming plan, as I only send the occasional SMS ($0.75 cost) to inform the Airbnb apartment host about my arrival time, when I do not have wifi access.
I have had 2 occasions in Italy and one in Malta when the SMS has not been received. When I realised this, I turned on roaming data for a short time and sent the message by WhatsApp. Received ok, so I know that I had the correct phone number..
I am receiving SMS ok. When I send an SMS to an Aussie number it is received. It seems that it is the SMS sent to an number in the same country that is not received.