Just spoke with support. Here is the right answer in that it might help others. In order to use SMS, you not only have to apply for 10DLC, which I did, and was approved, but you MUST create a campaign, and then have that campaign approved. EVEN IF you just want to do direct SMS to or from clients. This very patient and kind support agent walked me through the process. I wish I could at least receive messages, but I guess that won't be enabled until this
"campaign" is approved.
Update 8/18
The plot thickens. After no SMS for over a week, I find out the above is still not right. Yes, you apparently do need to have the 10DLC approval to use SMS. Several days ago I asked why can I not receive SMS? Two days ago, an agent proposed a Zoom session to go through settings. My number was assigned to the auto attendant. He said to remove it from there, and assign it to the lone user, me. Well, not only did I receive a test text, I was able to respond. I wonder if the campaign assignment was even necessary?? This has been incredibly frustrating. I may have well lost a client or job in the process.
The bottom line here is this error message actually means you have to assign a number to the user level, even if you are the only user. Period. SMS would have probably worked from the start had this been done.
Zoom could have done a far better job with this rather complex issue in documentation and setup guidance.