If you are crossing networks (Sending from ATT to Verizon for example) you will not get any delivery report.
I use to have verizon and I would get a delivery confirmation if I only sent it to another verizon user. But if I sent a message to a tmobile user, I would not receive any confirmation. From my understanding its entirely network based and does not have much to do with your phone and I dont know if ATT supports that feature.