What cellular module is in your WR41v2. Not all modules support SMS. We have also seen an issue where the SMS settings do not appear in the WebUI, but the CLI commands are supported.
Please feel free to post a case on our support site for further assistance. Please copy the debug.txt file from the WR41 and attach it to your case.
What is the part # of the device printed underneath the device.
Contact Digi Technical Support they will help you in this regard.