Windows 10 users who have both desktop and mobile devices may have noticed that SMS notifications are no longer appearing on the desktop. It appears that this is by design, at least if a post on reddit purporting to come from Andrew Bares is to be believed.
Bares is indeed a Microsoft employee (although there's no guarantee this is him) and his description of the reason for the removal of the feature seems to be consistent with Microsoft's approach to security. Users are still able to send SMS messages from the desktop, however receiving them in the same manner is no longer possible.
So having killed Messaging Everywhere and then integrated a limited form into Cortana, Microsoft has now pulled that functionality too, leaving users to wait for Skype to finally deliver the mature message handling service they desire.
Of course being Microsoft no one has actually made the change public, and Microsoft support forums are still instructing users on how to configure the functionality. If the news is real then its another example of poor communication between Microsoft and its customers.
For now the use of Continuum between mobile and desktop remains the best way of managing notifications between devices. For Android users who were using Cortana, a switch to PushBullet is highly recommended.