In case anyone needs to do this and land here looking for a solution here it is what i'm using:
AT+CSMP=49,167,0,0
Setting the first parameter as 49 for my GSM Modem (ZTE MF710) is the key to enable SMS Delivery Report to my Carrier.
The second parameter is the Expiration Time for the SMS Service Center to wait until decide the SMS could not be delivered. 167 is 12 hours.
Then you need to set the +CNMI of the modem to report. See SIM900_AT specifications
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^].
The best format for me is:
AT+CNMI=2,1,0,1,0
I hope this helps!