Thats because you cannot store those items on a memory card in a blackberry.
Yes, it would appear (to me at least) that its trying to save them to the SIM card, not the internal memory.
Options - SMS
Find "store on SIM card" (or similiar) and change to No.
"That's it then. Cancel the kitchen scraps for lepers and orphans, no more merciful beheadings... and call off Christmas."