Have you tried sending the messages through the WinMo side and not Sense? It appears some people were having issues... there is a cab out there to be able to disable the Sense sms/mms and take you back to the original WinMo one. That seems to fix the issue. Its here in the forums, not sure of the name but... I will try and post it when I get home for you.
EDIT: Here is the link for Zenyee Disable HTC Messaging for Sense 2.5
http://handheld.softpedia.com/get/Tw...ng-82632.shtml