This is happening to me, as well. When I try to unpin it, a toast pops up saying, “This music is only stored on this device.” But that’s clearly not true.
But really how well does that SMS integration really work? Sure Messenger can serve as your SMS app but nothing is synced across devices and conversations with the same contact are duplicated. (At least that’s my experience with it.) It just dumps all your FB/SMS messages into one app.