They just don't... I have a Polish number. Please check the issue.
Please make sure you've entered your number in this format: +48123456789 - with the + sign up front, your country code, and no spaces or dashes. Also, as you're editing the number, try to pick each of our 3 outgoing hosts: 1 US host and 2 Canadian hosts and try to send a test using each host.
If this won't help, please send your full phone number to firstname.lastname@example.org we'll sent a test through our system and if it won't arrive - contact our SMS provider.
I had to change provider to Canadian one. It works now.