This is an issue if you download the Companion from the Google Play Store. Since Google does not allow the Companion to include the SEND_SMS permission in the Manifest, the Companion from the Play Store does not have this permission.
However, App Inventor allows you to download a version of the Companion with this permission. It ends with u, so the latest version of the Companion should be 2.66u.
To download Companion 2.66u, go to Help > Companion Information. Then scan the QR code on your phone. You will then go through the same process as downloading an APK.
Don't believe me? https://groups.google.com/g/mitappinventortest/c/EyhhXsDy_ZY/m/GER2snLXAAAJ
EDIT: Forgot to mention, after you download the 2.66u version of the Companion, continue to ask the permission when the screen initializes (as @nishyanthkumar told you). This permission is special; you must use the right companion and ask for the permission.