So it wants to play hardball huh?
Ok. Right click the following link (silent tone) and save target as to your computer:
http://www.minidisc.org/charman/1sec.mp3
Now either email it to the phone and save it, then use a file manager to move it to your notifications folder located on the internal storage at System > Media > Audio > Notifications.
or...
If you have any issues with that process, you can also create a folder named Notifications using a file manager and put it on the root of your SD card, then drop the above .mp3 in there and it will then become available as an option.
Go back into the settings for the native Messaging app and choose the silent one for your notification sound. Force a message through. If you are unable to get rid of the status bar prompt, disable it after the first successful message and see if it stays silent from then on.