SOLVED: I was testing it with text message to myself and that does not show up in the PC Phone Link App. But messages from others, like my son, seem to work fine. It was my testing of message to myself that did not show up in the PC Phone Link App. I hope that makes sense.
Same thing with me. I set up a new version of Win 11 on laptop in my house. The laptop was on my wi-fi network. When I tried to text from the laptop to my iPhone number it worked. But when I texted from my iPhone or my iMac computer as a reply back to the laptop which (of course) was on my wi-fi did NOT get received.
But people outside of my home wi-fi got though just fine. So either my router was blocking the transmission or there is some bug in the Phone Link program what does one permit incoming messages if the receiving PC is on the same network as the sender.
As an aside, this program has a very confusing interface.