SMS can use Unicode, but it uses UCS2[1] so you get less than half the characters you get with the bitpacked 7 bit SMS character set. The 7 bit is mostly Latin, and uppercase Greek (using latin characters when identical). There are also some 7 bit shift-tables for some languages, including some Arabic for Urdu (would this cover other Arabic using languages?), but I'm not sure if anything use these tables instead of just going for Unicode as soon as it leaves the basic set.
I guess there might be input issues as well, do cheap feature phones have an Arabic input mode?
[1] Yes, UCS2 accord to the specs. I suspect modern systems ignore this bit of the standard and use UTF16.