I tried uploading this example code on to a Arduino Mega 2560 and got the following warnings.
In file included from C:\Program Files (x86)\Arduino\libraries\GSM\src/GSM.h:46:0,
from C:\Users\Kevin\AppData\Local\Temp\arduino_modified_sketch_835628\ReceiveSMS.ino:21:
C:\Program Files (x86)\Arduino\libraries\GSM\src/GSM3ShieldV1BandManagement.h:49:125: warning: 'typedef' was ignored in this declaration
typedef enum GSM3GSMBand {UNDEFINED, EGSM_MODE, DCS_MODE, PCS_MODE, EGSM_DCS_MODE, GSM850_PCS_MODE, GSM850_EGSM_DCS_PCS_MODE};
^
C:\Users\Kevin\AppData\Local\Temp\arduino_modified_sketch_835628\ReceiveSMS.ino: In function 'void setup()':
C:\Users\Kevin\AppData\Local\Temp\arduino_modified_sketch_835628\ReceiveSMS.ino:50:34: warning: deprecated conversion from string constant to 'char*' [-Wwrite-strings]
BOB = gsmAccess.begin(PINNUMBER);
^
C:\Program Files (x86)\Arduino\libraries\GSM\src\GSM3MobileMockupProvider.cpp: In constructor 'GSM3MobileMockupProvider::GSM3MobileMockupProvider()':
C:\Program Files (x86)\Arduino\libraries\GSM\src\GSM3MobileMockupProvider.cpp:44:12: warning: deprecated conversion from string constant to 'char*' [-Wwrite-strings]
msgExample="Hello#World";
^
C:\Program Files (x86)\Arduino\libraries\GSM\src\GSM3MobileMockupProvider.cpp: In member function 'int GSM3MobileMockupProvider::connectTCPServer(int, char*, int*)':
C:\Program Files (x86)\Arduino\libraries\GSM\src\GSM3MobileMockupProvider.cpp:183:32: warning: deprecated conversion from string constant to 'char*' [-Wwrite-strings]
strcpy("192.168.1.1", localIP);
^
In file included from C:\Program Files (x86)\Arduino\libraries\GSM\src\GSM3ShieldV1BandManagement.cpp:34:0:
C:\Program Files (x86)\Arduino\libraries\GSM\src/GSM3ShieldV1BandManagement.h:49:125: warning: 'typedef' was ignored in this declaration
typedef enum GSM3GSMBand {UNDEFINED, EGSM_MODE, DCS_MODE, PCS_MODE, EGSM_DCS_MODE, GSM850_PCS_MODE, GSM850_EGSM_DCS_PCS_MODE};
^
C:\Program Files (x86)\Arduino\libraries\GSM\src\GSM3ShieldV1BandManagement.cpp: In constructor 'GSM3ShieldV1BandManagement::GSM3ShieldV1BandManagement(bool)':
C:\Program Files (x86)\Arduino\libraries\GSM\src\GSM3ShieldV1BandManagement.cpp:38:27: warning: deprecated conversion from string constant to 'char*' [-Wwrite-strings]
quectelStrings[UNDEFINED]="";
^
C:\Program Files (x86)\Arduino\libraries\GSM\src\GSM3ShieldV1BandManagement.cpp:39:27: warning: deprecated conversion from string constant to 'char*' [-Wwrite-strings]
quectelStrings[EGSM_MODE]=""EGSM_MODE"";
^
C:\Program Files (x86)\Arduino\libraries\GSM\src\GSM3ShieldV1BandManagement.cpp:40:26: warning: deprecated conversion from string constant to 'char*' [-Wwrite-strings]
quectelStrings[DCS_MODE]=""DCS_MODE"";
^
C:\Program Files (x86)\Arduino\libraries\GSM\src\GSM3ShieldV1BandManagement.cpp:41:26: warning: deprecated conversion from string constant to 'char*' [-Wwrite-strings]
quectelStrings[PCS_MODE]=""PCS_MODE"";
^
C:\Program Files (x86)\Arduino\libraries\GSM\src\GSM3ShieldV1BandManagement.cpp:42:31: warning: deprecated conversion from string constant to 'char*' [-Wwrite-strings]
quectelStrings[EGSM_DCS_MODE]=""EGSM_DCS_MODE"";
^
C:\Program Files (x86)\Arduino\libraries\GSM\src\GSM3ShieldV1BandManagement.cpp:43:33: warning: deprecated conversion from string constant to 'char*' [-Wwrite-strings]
quectelStrings[GSM850_PCS_MODE]=""GSM850_PCS_MODE"";
^
C:\Program Files (x86)\Arduino\libraries\GSM\src\GSM3ShieldV1BandManagement.cpp:44:42: warning: deprecated conversion from string constant to 'char*' [-Wwrite-strings]
quectelStrings[GSM850_EGSM_DCS_PCS_MODE]=""GSM850_EGSM_DCS_PCS_MODE"";
^
C:\Program Files (x86)\Arduino\libraries\GSM\src\GSM3ShieldV1ModemCore.cpp:39:14: warning: deprecated conversion from string constant to 'char*' [-Wwrite-strings]
char* ok="OK";
^
C:\Program Files (x86)\Arduino\libraries\GSM\src\GSM3ShieldV1ModemVerification.cpp: In member function 'String GSM3ShieldV1ModemVerification::getIMEI()':
C:\Program Files (x86)\Arduino\libraries\GSM\src\GSM3ShieldV1ModemVerification.cpp:64:20: warning: passing NULL to non-pointer argument 1 of 'String::String(int, unsigned char)' [-Wconversion-null]
String number(NULL);
^
C:\Program Files (x86)\Arduino\libraries\GSM\src\GSM3ShieldV1SMSProvider.cpp: In member function 'void GSM3ShieldV1SMSProvider::beginSMSContinue()':
C:\Program Files (x86)\Arduino\libraries\GSM\src\GSM3ShieldV1SMSProvider.cpp:68:57: warning: deprecated conversion from string constant to 'char*' [-Wwrite-strings]
if(theGSM3ShieldV1ModemCore.genericParse_rsp(resp, ">"))
^
C:\Program Files (x86)\Arduino\libraries\GSM\src\GSM3ShieldV1ScanNetworks.cpp: In member function 'String GSM3ShieldV1ScanNetworks::getCurrentCarrier()':
C:\Program Files (x86)\Arduino\libraries\GSM\src\GSM3ShieldV1ScanNetworks.cpp:66:21: warning: passing NULL to non-pointer argument 1 of 'String::String(int, unsigned char)' [-Wconversion-null]
return String(NULL);
^
C:\Program Files (x86)\Arduino\libraries\GSM\src\GSM3ShieldV1ScanNetworks.cpp: In member function 'String GSM3ShieldV1ScanNetworks::getSignalStrength()':
C:\Program Files (x86)\Arduino\libraries\GSM\src\GSM3ShieldV1ScanNetworks.cpp:85:21: warning: passing NULL to non-pointer argument 1 of 'String::String(int, unsigned char)' [-Wconversion-null]
return String(NULL);
^
Also, I have had this example work on the same arduino about 4 years ago.