Note: With new myPhoneDesktop v1.4 running on iOS 4 SMS functionality has been greatly improved providing support for composing SMS messages from within myPhoneDesktop (iOS 4 only)
The reason we can not send SMS directly is Apple doesn't currently support sending SMS via 3rd party applications and does not allow to invoke Apple's native SMS app (called Messages) with both TO and BODY parameters.
However, Apple does allow to invoke its Messages app with TO parameter. myPhoneDesktop takes advantage of this feature. When you send SMS message from myPhoneDesktop desktop or web client the Apple's Messages app will be invoked and the TO (phone number) parameter would be passed to it. The SMS Text, however, will be placed into iPhone's clipboard. When composing new SMS message on iPhone, tap the insertion point and tap Paste. The data you've sent from myPhoneDesktop will be inserted there.
We do understand slight inconvenience with this approach. Please note: as soon as Apple would add support for a 3rd party applications to send SMS messages directly, we will promptly add such functionality to myPhoneDesktop.