I have it set up the way you're looking to configure it. The mistake is actually on my part, for which I have to apologize... I told you to select "SMS" from the application slection screen, but that's actually a custom link I've set to automatically "install" during my backup/restore process. You may not have it (depending on ROM date).
You basically have to create a shortcut/link to what was mentioned earlier by NinjaDuck. If you make a shortcut pointing to the below, you will automatically be taken into the SMS/MMS screen:
\Windows\tmail.exe" -service "SMS"
You can also download mine and put it on your phone. I have it in "Windows\Start Menu\Internet" and it WILL show up when you try the change the default application for Messaging. It'll also be in your startmenu for easier multi-tasking
That file is attached to this post (I had to zip it because the forum won't let me upload an LNK file)