Thanks for reaching out about this!
You should definitely be receiving these short code messages, I'll send you a PM so we can look into it further. It might require some troubleshooting on our end.
Did this ever get resolved @mcons? I just ported into Fido and experiencing the same issue. Called support, was told to restart my phone, tried it off WiFi, etc. Can't get codes from ZenDesk, QuesTrade, eBay, PayPal, etc - I've tried just about every two-factor service I use and none come through.