The Messaging tile still doesn't work but you can get SMS notifications through the Notification Center tile. I rebooted my Band and phone before it actually started working. Hopefully they fix the Messaging tile soon.
I spoke with Microsoft Support and they informed me it is a known issue with the Band 2 and all Android M devices. It should be fixed in the next Microsoft update. He didn't have an ETA.
I'm having the same issue. We have the same version of everything as well. I tried factory resetting my Band 2 but it still doesn't work.
UPDATE (still doesn't work):
I just did a factory reset on my phone and that didn't work either.
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