You are able to receive delivery indiccations in PDU mode with at+cnmi=2,3,2,2,1 where the fourth value sets the indication delivery. You will receive a SM location (+CDSI: "SM",11) where the delivery note is saved. Then you need to use at+cmgr=11 to see the actual data.
Please remember to delete the notification after you have processed it.
I was not able to receive notifications in text mode.