Is it possible to trace the source or destination (location, even coordinates) of an SMS message ? If it is, is it possible to do it even if the phone is roaming in a different country ?
There is no location transmitted within a normal SMS message (unless added by the author) so as the recipient of an SMS you won't normally be able to determine the location of the sender.
The location of a cell phone can be determined with varying precision by the Mobile Network Operator and any third parties with access to the MNO's system or data. The location precision depends on the capabilities of the device, the cell tower(s) it connects to and the quality of the signal.
A determined and well equipped attacker may able to determine the location of cell phone independently of the MNO (by sniffing local cell traffic, using a fake cell tower or side channel attack such as observing the wifi or bluetooth connections of the device, implanting malware on the device etc) and pair this with the timestamp of the message. (It may also be possible for an attacker to read the mssages, since the A5 stream cipher used to encrypt the message between phone and base station has been shown to be vulnerable).
One other thing to consider is that there are many different ways of sending an SMS and normal mobile phones are only one of these. For example, MNOs and a very large number of third parties will forward SMS messages which originated from email or web based gateways. In many countries fixed line telephones can send SMS if configured correctly.
The location of the sending device may not correspond the location of actual person either. Many devices can be configured to send SMS without having any operator physically present (uses for that include alarm systems, vehicle trackers etc).
The carrier can tell what tower it comes in on and what tower it goes out on at a minimum. Under certain circumstances, the phone may also report its GPS position to the carrier as well, so yes, with sufficient access to the carrier it is possible to track an SMS. There are ways to spoof sending them, but at some point it is at-least being transmitted to a phone from a tower and that tower can be identified.