you can make it work by creating HKEY_CURRENT_USER\Software\Microsoft\MSNMessenger\PerPassportSettings\
<your messenger ID>\Sounds\MSNMSGR_NewSMSMessage\Enabled in your registry, with <your messenger ID> being a 10 digits code.
If you're the only one using messenger on your PC, there should be only one ID in there. If there are more, just add the value to all of them
This is what mine looks like now: