Sending out SMS messages

You first want to be sure you created an SMS campaign. Once you have that completed and it's been approved, you then need to have a direct telephone number assigned to your Zoom account and under your user policy, you have SMS enabled. 

Hello @christineavatar ;  As @sparrow  says, you can receive SMS all you want, but to send (New or Reply), you need to register a Brand and a Campaign and associate the Zoom Numbers you want to use as the source of the SMS/MMS message to the Campaign.

If you want to get more details to understand about the why and the how, read below articles.
US/Canada Policy for SMS: https://explore.zoom.us/en/trust/zoom-phone-text-messaging-policy-for-the-us/
SMS/MMS 10DLC Compliance: https://support.zoom.com/hc/en/article?id=zm_kb&sysparm_article=KB0059336