Which ones? I have a PC on TH2 (production), a VM on RS1 (latest fast ring build), a 950 on TH2 (production) and a 535 on Fast ring (rs1). The 950 has the sim.
I've tried "contact+messages" app (a Microsoft one), but it crashes and fails to restore correctly dual sim messages (everything is restored in slot 1).
I'm suspicious about the other app mentioned above, as I've read on French forums that people got spamed right after having used it (non official app) :/
"Windows Phone Message Backup" - I haven't had any problem since I used this one time only to download my SMS and then export them to a Text file for archival purposes. It's important to note that, for me, this app only showed those SMS messages that my Windows Phone 8.1 phones could restore successfully.
"Messaging Everywhere" (or just "Messaging") on the newest Desktop/Laptop/Tablet Insider build shows a larger number of my SMS messages that my WP8.1 phones do not restore and my W10M phones cannot currently restore. Unfortunately, this is effectively a "read only" thing, but it does confirm that my more recent SMS/MMS were uploaded/backed up into my Microsoft Account's cloud storage. It also reveals a possibility that any texts in the last couple of weeks may have been lost when I hard reset my 950 XL. It sucks but isn't critical to me (as it most definitely is for some of my fellow W10M users, like yourself, perhaps). I just dislike the fact that Microsoft appears to be unaware of the problem and/or is running in a "silence" mode where they won't respond to folks who ping them about it.
There are posts in the Feedback App on the topic, might be worth going in there and hitting the "Up vote" link a few times. I know that this doesn't solve anything, but it did help me a bit.