ATE1
OK
AT+WIND=12
OK
AT+CPIN?
+CPIN: READY
AT+CREG?
+CREG: 0,2
OK
AT+CREG=1
OK
+CREG: 2
AT+CPMS?
+CPMS: "SM",0,20,"SM",0,20
OK
AT+CSMS?
+CSMS: 0,1,1,1
OK
AT+CSCA="+111111111"
OK
AT+CMGF=1
OK
AT+CSDH=1
OK
AT+CNMI=?
+CNMI: (0-3),(0-3),(0-3),(0-2),(0,1)
OK
AT+CNMI?
+CNMI: 2,1,1,2,0
OK
AT+CNMI=2,1,1,2,0
OK
AT+CMGL="ALL"
OK
AT+CGMI
WAVECOM MODEM
OK
AT+CGMM
MULTIBAND  900E  1800
OK
AT+CGMR
433_09gm.2C2 1263808 070902 18:42
OK
AT+CGSN
012345678901234
OK
AT+CSMP=1,,0,242
OK
AT+CMGS="+99999999"
> First Test-Message
ERROR
AT+CMGS="+99999999"
> First Test-Message
ERROR
AT+CMGS="+99999999"
> First Test-Message
ERROR
AT+CMGS="+99999999"
> First Test-Message
ERROR
AT+CMGS="+99999999"
> First Test-Message
ERROR

A: I have no idea why it does not work. There are many modems that does not follow specification and many firmwares. You should check AT command documentation and compare to modem log. You can also send commands manully from modem log terminal to send text format message (to check correct syntax).