Oh, FWIW, the CSD daemon will try like **** to send the message out.

I kept getting USSD messages every two seconds telling me my credit is down to £0.00 because I had no credit in the first place and CSD wants to get the message out. Deleted the one file in /var/spool/sms/outgoing and also deleted /var/spool/sms/regs_out.txt and it stopped.

So, if you do workaround it by using no SIM, make sure you check for those files before putting one back in.