Problems receiving text messages

However, when the phone is switched off or if I don't have a reception sms messages sent to me, just don't arrive, they get lost somewhere and are never delivered to my phone.

I have contacted customer services who suggest that I change network, done. changed to vodafone from O2 and repeated the test, still nothing. If this is a common thing with 0044, then I may as well wait till I get to the states and buy AT&T go phone, which would seem less hassle.

Is anyone else having these problems?