Apple reminds that your carrier may charge for text messages used to activate iMessage. Should I choose to cancel or choose?

Must be selected and cannot be canceled.

If the activation text message was charged once, think about how many iMessage messages you will send in the future, and you will have earned it back a long time ago. After activating iMessage, as long as the receiving end of the text message you send is also an iPhone, it will be a free text message using data and will not be charged.