Same issue here. iPhone 5S and latest Macbook Pro.
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Do we actually know definitively that this should be working from the desktop end?
All I have managed to see others referring to is the ability to *read* SMS messages on OS X. Nobody has come out and explicitly said "I can send SMS messages from OS X using SMS Relay" ... or have they? Did I miss somebody saying this?
Also I am unsure about making standard phone calls from Yosemite via the iPhone - should that be working at the moment? Or is that still coming?