Yes I have noticed this too.
In fact the Nokia shop here in Chicago mentioned that they have had people who have been having problems receiving SMS on Cingular. From what I understand Cingular have a very propertiory SMS setup. I'm not sure how much standard SMS technology they using but I believe they don't share control channels for both voice and SMS but rather they are partitioned from what I'm told. I'm not really told much else though unfortunately.