Once you click on "Create New SMS Campaign", you'll be given 3 choices.
Select the first option if all you want to do is send out an SMS blast to your contacts, but you don't want or expect to receive any replies. An overdue bill reminder would be a great example, since usually you just want to remind them that they need to pay the bill, and don't expect them to action the SMS per se.
If you created a campaign for only inbound SMS (for example, a billboard with a mobile number where your customers can text in), then this is the option you should pick.
Send & Receive
You are all over it and ready to interact with your customers. Pick the final radio button if you want to send out an SMS campaign and let your customers reply to the message they receive. Opt outs are replies to your messages, so if you are letting your customers unsubscribe by replies, then this is your choice.
Once you select your option, click Get Started.