I had this issue last week (stock SMS app showing text that said 'downloading'). I installed Go SMS app and then it came through. This was the fix for me, maybe it could work for you too.
I had the same problem. I just went to the app store and downloaded handcent and then it worked. interestingly, once handcent downloaded it, it also showed up on the stock reader. Not really a 'fix', but it got the job done.
I seem to remember reading something about this before. If I remember correctly, pic messages couldn't be downloaded while wifi was on. I think basically sms messages can be received while on wifi but not mms messages. Maybe I'm confusing this with something else, but if you had wifi on try turning it off and see if you still have the same problem with pic messages.