Correct, typically you'd be roaming. Once an SMS comes in, it will simply go by the established international roaming charge associated with SMS messaging.
So, if a carrier says receiving an SMS when roaming internationally costs $1.00 then that is the only charge you will get for that SMS message. Simply having a roaming cellular connection won't result in charges unless it is used--in cases of a call, the charge will be whatever the agreed on call/per-minute charge is associated with that particular roaming carrier, in case of an SMS it will be whatever the agreed on SMS charge is. There are no data charges associated with SMS messaging, as it is treated like voice minutes--there's a specific charge per each one that gets charged when roaming internationally and that's it.
In most cases there won't be some sort of double-dipping where you pay for a charge for an international SMS in additional to some sort of roaming usage charge.