The "Send SMS" button indicates a step in an automation where a SMS message should be sent. Automations (a.k.a. drip campaigns) MUST start with a "Send an Email", "Send SMS" (if SMS is enabled), or "Wait for Event" step (Enterprise).
If you do not have SMS enabled for your account, you will see a lock on this button. Contact your Client Success Manager for more information on the SMS program.
As noted, an automation MUST start with Send Email, Send SMS, or Wait for Event.
The kick-off SMS message can be either a triggered or regular SMS message. This can be created directly in the automation workflow along with any subsequent SMS messages.