Go to Settings
Then go to Mobile networks and select a network other than O2-UK, this also includes giffgaff, Tesco Mobile or any other O2 MVNO.
When you exit the menu the phone should lose the network.
Repeat the process and select O2-UK as your mobile network.
This procedure will force the update of the message centre number. You can verify it in your message settings.
The SMS Service Centre number is +44 78020 02606 and can be checked by dialling *#5005*7672# from the device keypad.