Haven't rec'd any texts after going to sleep though I use the alarm everyday. Definitely report the bug to Apple and post it on the Bugs sticky - it's in the iPhone Tips, Help and Troubleshooting subforum
I just tested this:
1st the new text message window appeared,
2nd the phone timed out and went to sleep
3rd the alarm then sounded as scheduled.
4th I stopped the alarm and
5th the red (1) appeared on the sms icon on the homescreen.
This is why I always set two alarms. I've had a few mornings where, for some reason or another, my cell phone (not my iPhone alarm, haven't yet used that) or my computer alarm didn't go off. Honestly, I should probably just invest in a dedicated alarm clock.