It seems the latest build of My Phone, build 01.05.2317.0400, pushed out yesterday, appears to no longer be synching text messages.
The option appears to be disabled as the software seems to think this will be handled by Exchange synching, but in my case I can confirm this option has not been selected in Activesync, meaning my text messages are not being backed up to anywhere.
Our reader B. Amoah who tipped us has confirmed installing the older version restores text message synching, but of course the latest, bugged version is then pushed out soon after.
Hopefully Microsoft will address this issue quickly, as I have rapidly fallen in love with the My Phone service as one of the most easy to use backup services available on Windows Mobile.
Edit: A fix is now available (via Mobiletechworld.com):
Edit the registry key
using your favourite registry editor and change the registry value â€œDisableSMSDataTypeâ€ from â€œ1? to â€œ0
Thanks B. Amoah for the tip.