First off, Welcome to the forums Alicefred

About the message settings, theres two ways to access it on the stock phone, one is through the sms app itself under options, Not normally there on Windows mobile phones, just in LGs case there is.
This is the master as far as LG is concerned, though the original master was under, start menu,settings, sounds an notifications as per every other windows mobile phone, and they left most of the settings there under the windows options, but removed some and put them in the Sms options itself and screwed us all up.
One of our very bright members "Dark" has made a cab file that puts the options back under the normal windows settings as under LGs, there very little you can choose from.
This cab has been blended into a Tweaker application made by another very bright forum individual "Woodhole", with options to enable it through a nice little app as well do a few other tweaks etc...
This app is in my signature an as well, you can find the link to the custom Roms for this phone too.
Tweaker App-Option= Enable missing sounds and notifications.
Hope that helps some, there is a bit of a curve with this phone over previous WM phones, but most has been worked out already here.
Peace
WR