Q: does icloud store sms messages

No. Nor does it 'store' iMessages. Once iMessages are delivered to your devices, that's it. They no longer Exist on Apple's servers. SMS/MMS messages that are delivered to multiple devices via continuity never touch Apple's servers at all. They move directly from device to device.

If you are talking about backups read below otherwise follow kiltedtim post.

Yes, using iCloud backup

Read here: About backups in iCloud and iTunes - Apple Support

To retrieve,  you restore from the backup.