So, I finally got round to configuring this.
The number is the “magic number” mentioned here:
Simulate a successful message by sending an SMS using the magic number +15005550006 as the From number, and a regular phone number for the To number.
As it is a test number, I have to believe it is not SMS-capable for inbound messages.
Kindly note that I am able to create users, but if using the test number above, I get this error or warning anyway.