Yeah, I just figured it would be worth mentioning since I've met plenty of people who have sworn up and down that they had done that (friends and family) and when I look at their phone, they had not. Seemed more likely that the vibrate was not checked in the messaging app than having two phones, back to back, that have the same mysterious problem of not vibrating only when receiving text messages.
Perhaps there is some app that you have on your phone that is causing this problem. If you use a different SMS app, they normally un-check the stock messaging app's notifications and vibrations for you, I believe. So, they would need to be re-checked. That's all I can think of.