I chatted with Verizon Tech team and they had me clear storage and cache for Messenger+, uninstall and reinstall Messenger+ (which is Verizon's messaging app). Even after that, I still couldn't receive security code SMS. Basically, Verizon told me that they don't support Surface Duo phone. So, I started using the Google Messaging app and now receive the security code SMS.
I would say it's a Verizon Messaging App problem and that Verizon service does not recognize the Surface Duo as a standalone phone / device.