Right. The SMS is from the Tesla servers to your car.
They can't use the normal data connection, because the data connection (whether wi-fi or cellular) is presumably handled by the MCU, which is powered off at this point, so there's probably nothing in the car that's actually capable of talking to the Internet at this point. However, the connectivity board (with its cellular modem) is always powered, and it can trigger the car to power the MCU on when Tesla instructs it to wake the car. I guess they use SMS for simplicity and/or lower power draw.