Just tested the SMS receive example sketch on the MKRGSM1400:
17:59:57.730 -> SMS Messages Receiver
18:00:11.153 -> GSM initialized
18:00:11.153 -> Waiting for messages
18:00:11.848 -> Message received from:
18:00:11.848 -> UKGov
18:00:11.848 -> GOV.UK CORONAVIRUS ALERT
18:00:11.848 -> New rules in force now: you must stay at home. More info & exemptions at gov.uk/coronavirus Stay at home. Protect the NHS. Save lives.
18:00:11.883 -> END OF MESSAGE
18:00:11.883 -> MESSAGE DELETED