That last link worked a treat, but I also had good success by changing the URL in the format as previously detailed:
https://dub111.mail.live.com/default.aspx?n=1111111111&=&fid=&qvid=3
The &qvid=3 seems key, I've tried =3 and =5, but to see ANYTHING the view needs to be set by conversation.
I was then able to tick the check boxes and move my SMS messages to a new folder I created called SMS.
The feature appears to be there - I really have no idea why MS, can't turn it on for everyone - it's a GREAT feature - easily on a par with the Android back up to Gmail.
Yet again, the ball has been dropped. Enable the feature MS, let people KNOW about it, and let them USE it = happy WP customers, and dare I suggest, customers that would BUY WP just for this feature - because it works that easily if the LINK is there in Outlook.com.