hmm. now lets put things into perspective here..
just this one missing feature has made you disappointed with this wonderful OS and cast it as an expensive "toy"
.. this just breaks my heart, dude!
why would you need to back up SMS anyway? for evidence of some sort? I for one haven't missed this feature at all.. But this is just me and it is not because I love the phone or anything but it is just that I have never wanted it... Even when I had the Nokia 5800 which was all out for backing up EVERYTHING.. I never backed up my messages. They are just space eaters imho.
come on now, I think what is needed is a little bit of discipline, routine, and a bit of spring cleaning ..
If you get things like email addresses / telephone numbers / important street addresses / people's names etc etc that are stored in SMS messages I make it a point to create new contacts immediately so that they get saved on google or windowslive. [That's backed up]
If you have personal lovey dovey messages why don't you copy them and paste them in a word document so that they get saved on SkyDrive. I know it is a little long winded but if you love the person then what is the extra mile ahh?
[That's backed up as well now]
what else would you like stored in messages? Maybe there is a way around it.. let us know..
get into the habit of deleting unnecessary spam SMS.. If you are not interested in it delete it straight away. this way you will only keep the ones you really want and it will make life easier when you have to someday 'wipe out' all the messages. So you can have a once over in your inbox go through all the important messages that are remaining and find a way to save them using other resources.
Please don't get me wrong.. It is not that I have disregarded your cry for help, I know this feature must be important to you but chill dude, enjoy the phone a bit more.. don't let this ruin your Windows experience .. look at the bigger picture
There is always some sort of work around for the time being.