I don't think anybody responded, but I can recall an answer in another forum, which said that SMS notification sound comes through differently than ringing, it comes on the same way as the music for example. So the only way to hear the SMS sound is when I set the unit to Media and click on the Bluetooth icon or actually listening music on my iPhone through the BT unit.
If I am listening to Radio or CD, I will not hear the SMS sound.
Also that's why I cannot hear the sound of videos for example in Facebook or Youtube, while my phone is connected to the BT unit, but I am listening to Radio. I have to change the source of the sound to Media and Bluetooth to be able to hear it. Do not use Facebook or Youtube while you are driving!