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It's a technical limitation. Number blocks can be moved between providers but not individual numbers, so the old number gets kept by the old network who forwards your calls. Incidentally, the old provider also still gets paid the termination fee when someone calls you - though they may have sorted that out now. The same applies to mobiles incidentally, though providers there tend to be more on the ball about removing numbers from their services after being ported out, the old "donor" network still forever gets paid by anyone who calls you, not the actual network you're receiving the call over.

The "correct" number for BT Message Store is 0845 602 1111. If that's the number you got then it's legit, but as mentioned you can turn off the service completely - again with BT as SMS to landlines is handled at the network level by a go-between that receives all messages for BT's number blocks.