How to receive SMS from the data sim in iPad Pro?

If you have added a DataSIM and Cellular plan to a WiFi+Cellular model of iPad, the number associated with the SIM card is only used to identify your account for billing purposes. This number is not used for making calls or sending messages.

An iPad, whether a Cellular model or not, is not capable of directly accessing Cellular Voice or Messaging features. An iPad with Cellular connectivity alone can only access IP-data services. An iPad is not, and can never be, a standalone substitute for an iPhone. 

However, If paired with an iPhone, the capabilities of iPad significantly broaden to include access to Cellular Voice and Messaging services of the associated iPhone.

More information about Continuity and the relevant Cellular services can be found here:

Continuity

Use Continuity to connect your Mac, iPhone, iPad, iPod touch and Apple Watch – Apple Support

SMS/MMS Messaging

How to forward SMS/MMS text messages from your iPhone to your iPad, iPod touch or Mac - Apple Support

WiFi Calling

Make a call with Wi-Fi Calling – Apple Support

If you have an iPhone - and both iPad and iPhone are signed-in to iCloud with the same AppleID, to send SMS/MMS messages from your iPad you must explicitly enable Text Message Forwarding for your [new] iPad on your iPhone...

On your iPhone:

Settings > Messages > Text Message Forwarding - set to ON - and explicitly enable your iPad from the list of devices.

Also ensure that Messages in iCloud is enabled on both your iPhone and iPad:

Settings > [Your Name / AppleID] > Messages - set to ON

I hope this information and clarification is helpful in clarifying the capabilities of both your iPad and iPhone.

A cellular SIM for a suitably enabled iPad enables you to use it to browse websites and check your emails. If you don't need to do this you can use a wi-fi only iPad to do this at home or in hotspots away from home. As indicated above the cellular service is data only, and that doesn't include voice or SMS which have to be sent to a specific phone number.

The issue isn’t iPadOS at all. The iPad is not designed to be a Cellular ‘phone; it cannot directly access Cellular Voice or SMS Messaging services.

As already outlined, an iPad of any model is not a substitute for a cellular phone - and in most cases, a cellphone SIM will not even work in an iPad.

If you have an iPhone, your iPad can access Cellular Voice and SMS Messaging services of the iPhone.

The point of a Cellular model iPad is twofold:

1) You can access cellular data services (not legacy Voice or SMS/MMS) in addition to fixed or hotspot WiFi.

2) Addition of GPS/GNSS Global Positioning capability (this feature being one element of the Cellular chipset).

Your frustration is understood. It is indeed unfortunate that your retailer lacked sufficient knowledge to bring the functional capabilities of iPad adequately to your attention (assuming that you asked) - or, perhaps, inadequate research was made by you prior to making an expensive purchase.

With the exception of the Site Moderators, contributors here are all end-users - just like you. We cannot help you to do something that the iPad hasn’t capability. We can, however, guide you to what can be done.