I’m not sure what MDM you’re subjected to but I’ve been an MDM engineer for 7 years using Intune and JAMF and no, no SMS or phone records. Even the phone # is blanked out minus the last 4 digits. Yes we can wipe the devices if it’s lost\compromised but personal versus corporate owned devices are limited. I can’t see what apps you have that were personally installed. And the only info I can get are the device stats (SN, IMEI, storage, battery, memory, etc).