When you log on to Vault22, you are effectively cueing a login to your bank account (so we can gather the information for you), so you are going to receive an sms for each account that you’ve linked to Vault22. This is perfectly normal and completely safe. It's the same as if you had logged in to your bank account(s) yourself.
Why do I get SMSes from my bank when I log on to Vault22?
Puva 'Sven' Cook