Canada too, and it is an issue. Most people don't have suitable limits set up, nor are they desensitized to it. They just do what they can to avoid unsolicited texts. Not to mention SMS-as-authentication blows for a number of other reasons, not the least of which is you have to be connected to a cell network to receive them. Not WiFi, but the actual cell network.
You have a deactivated phone or phone out of the network you would like to use to authenticate? Too bad, not only do you need a phone that can receive an SMS, you also need an active phone plan.
Unfortunately the only way to do this well is to cover all your bases. A great example is Blizzard, who offers an authenticator app for your phone, an SMS program for those who don't have smartphones, and a custom built authenticator device for everyone else.
It's expensive, but anything less will cut out a large portion of potential users. Hence why we still just use a username and password. Much like democracy is to politics, user/pass is the worst form of authentication except for all the others.
But I doubt this would decrease conversion rate at all.