Im on 02 and its surprising they still don't have sms delivery support enabled considering every other major network within the UK does support it.
The code *0# that has been mentioned in this post does work. I have used this method before as i once contacted 02 regarding this issue and they told me to do this, I just simply saved it as a template and used it when I needed to.
Although SMS delivery reports do not work on 02, you can still receive reports for MMS though. They used to work fine and still do. Only thing is that I guess we won't know properly until there is official MMS support or if there ever will be on the n900.