Hi @pseudoralph,
Welcome to the Auth0 Community!
Yes, that’s correct. The only way to set the passwordless SMS message is in the passwordless SMS settings either on the Dashboard or through the Management API.
If you need to customize the phone message, you could use liquid syntax to construct elements of the message programmatically. For more information, see this document.
Let me know if you have any questions.
Thanks,
Rueben