Since UnsolicitedSMS event is not called in a VCL thread it is impossible to write to VCL class. Received SMS is possible write e.g. to TStringList and by means of auxiliary TTimer class event list its content to VCL window. Example:

   TxxForm = class(TForm)
     ...
     GSM: TGSM;
     Timer1: TTimer;
     fSMSReceiveQ: TStrings;
     MemA: TMemo;
     ...
   end;

   procedure TxxForm.UnsolicitedSMS(Sender: TObject; Idx: Integer; aSMS: TSMS);
   var
     Stat: Integer;
   begin
     if aSMS = nil then  { PDU mode }
       try
         aSMS:= GSM.ReadSMS(Idx, Stat);
         fSMSReceived.Add(TMTSMS(aSMS).OA+'/'+aSMS.UD);
       finally
         GSM.DeleteSMS(Idx);
       end
     else
       begin           { text mode }
         fSMSReceived.Add(TMTSMS(aSMS).OA+'/'+aSMS.UD);
         if Idx <> -1 then
           GSM.DeleteSMS(Idx);
       end;
   end;

   procedure TxxForm.Timer1Timer(Sender: TObject);
   begin
     if fSMSReceived.Count > 0 then
     begin
       with TCriticalSection.Create do
       try
         Enter;
         try
           while fSMSReceived.Count>0 do
           begin
             Memo.Lines.Add(fSMSReceived[0]); // text do memo
             fSMSReceived.Delete(0);
           end;
         finally
           Leave;
         end;
       finally
         Free;
       end;
     end;
   end;