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If you have enabled (checked) this option in General settings and you cannot see delivery identification then check GSM Terminal after you connect to your GSM modem and look for this AT command:
AT+CNMI=?
+CNMI: (0-3),(0-3),(0,2,3),(0-2),(1)
Key is 4th parameter that controls SMS-STATUS-REPORT indication. If value 1 or 2 is supported then it should be possible to catch report on TE.