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, a drip campaign MUST start with Send Email, Send SMS, or Wait for Event.
To select the kickoff SMS, simply click the pencil on the workflow step and choose a SMS campaign that has already been created & saved.
For any subsequent Send SMS steps, you can simply type the SMS message into the box when editing the step.