when my modem receivers data from UART and transmits data to server over GPRS network (TCP protocol), I can’t send to modem and receiver reply from modem. what’s happen? Something I missing?
From the title of your post, I assume you mean, “can’t send SMS to modem and receive SMS reply from modem” 
It certainly is possible for a Sierra Wireless device to send & receive SMS while using the UART(s) and GPRS.