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.
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.
To create your kickoff SMS, simply click the pencil on the workflow step and choose a SMS campaign that has already been created & saved or create a new message.
For any subsequent Send SMS steps, you can simply type the SMS message into the box when editing the step.