Exophone number, in particular, do not hold the capacity to receive incoming messages and therefore, a third party integration is required to enable incoming message feature. We would be connecting you to TATA team who will provide you with a number (aka Pull plus Voice number) which can be integrated with one of the Exophone numbers in your account.
Once the integration process is completed,
1) Go to the App Bazaar->Installed Apps section.
2) You will be able to see the Call App which you have assigned to your Exotel number. Now click on 'Create SMS App'
4) Setup the App by dragging and dropping the SMS applets on the right pane
5) Go to the "Exophones" page and assign the flow that you created to your Exophone.
Done! You are ready to receive SMSes on your Exotel number :)