I've the same problem with v. RUT9XX_R_00.05.03.04. There are also other SMS commands i.e. cellular that doesn't work immediately. Only after that the router has been re-started i.e. due to a power outage will the commands i.e. cellular take affect.
By the latest FW version do you mean RUT9XX_R_00.05.04 ?https://wiki.teltonika.lt/view/RUT9xx_Firmware
Have you checked if you're using the correct SMS message ? For example “admin01 reboot” just notice that the password admin01 is only default, you have most likely changed it. https://wiki.teltonika.lt/view/RUT955_SMS_Utilities#Reboot