We actually get this question often when working with partners. You are accurate that many carriers do not support SMS inter-networking for their M2M applications. They have a variety of reasons, some policy driven and others due to technical limitations but at the end of the day, sending an SMS from you cell phone to an M2M device is not as simple as simply sending a text to the devices "phone number"
In order to accomplish this, what we recommend is utilizing an SMS aggregator to route MT traffic back to your server, and then via a bind to your operators SMSC deliver the SMS down to the device. The reverse works as well for MO traffic.
Alternatively, if your target market is smart phone friendly, you could build a smart phone application that communicates over IP to a server on your side and then have the server deliver the data either over IP or SMS to the device...This is a potentially less expensive solution (especially if you are already utilizing IP traffic for other parts of your application) since you do not have to pay an aggregator for sending and receiving SMS. Also IP is considered to be more reliable than SMS.
Either of these approaches will work, and while it may be a little more challenging to get started than simply trying to get inter-carrier SMS messaging for your M2M devices, the advantages of routing the data back through your application and data center probably out weigh the challenge. It gives you ultimate control on how data is delivered to the devices which from a connectivity perspective ultimately determines your cost and ability to scale the application beyond a single carrier.
Good luck with your app.
I agree with Mike. I'll just add that with the solution that Mike describes (aggregator with your backend systems), it gives you the ability to block SMS SPAM from being sent to your devices, and protects your customers. It just gives you a lot more control over what is being sent to/from your devices and your customers. Imagine having a tracking device for your son or daughter, and not being able to find their location because the authorized SMS that you sent is being delayed by SPAM or other unauthorized SMS messages to the device.