I had a similar issue but only AFTER a hard-reset and consequent upgrade to 10.0.14393.67. before on all developer builds I got SMS notifications normally.
while I do get the text messages on time and under lock screen and having checked all the usual suspects like background/lockscreen settings I could only adjust its notification sound after repeatedly sending texts to my mobile. suddenly at some point the 'messaging' app was then visibile in notifications and actions settings.
I have no skype installed on my phone and opted NO to link my contacts when setting up the phone