Good morning moonandstar. I understand the problem about finding the right board for this topic - so I agree that it is best placed here.
I agree with prion's advice, as I should have posted something similar if I had got here first.
O2 have been lazy, historically, in setting up agreements with foreign networks, and many of them are unable to receive either SMS or MMS in consequence.
I first came across this problem, personally, when I investigated a similar problem in sending MMS to Hungary.
My personal view, for what it may be worth, is that T-Mobile have the best coverage for international SMS and MMS.
I have never owned an iPhone ( nor wanted to be mug enough to pay for all the Apple hype that surrounds it ! ), but I would suggest that the way to get delivery reports for SMS on this mobile would be the same as on any other O2 one: start your message with
*0# HTH.
mh.