Custom URL scheme not recognized as link in SMS app(only in iphone 4 iOS 5.0)
Check if you're using uppercase/mixed scheme (as in MyApp://...) versus an all lowercase (myapp://...). Under iOS 5, the OS won't recognize and will throw exceptions if you try to use uppercase in a custom URL scheme. If that doesn't work, it's almost certainly a bug with the SMS code in which case you should file a bug. Let me know if that worked.
It seems the SMS url parser is not clever enough to work out that your url is for an app - my suggestion would be to use an http:// based url that will then redirect to the url for your app.
This would allow you to show a message to non iPhone users who might have inadvertently got the message and would also allow you to register that the SMS linked has clicked on all this is in addition to also working on iOS 5.