델파이가 생성해준 인터페이스내 함수에
RIO.HTTPWebNode.UseUTF8InHeader := True;
를 추가해주니 별다른 변환없이 제대로 메세지가 전달되는군요

ServiceSMSSoap = interface(IInvokable)
...
...
function GetServiceSMSSoap(UseWSDL: Boolean; Addr: string; HTTPRIO: THTTPRIO): ServiceSMSSoap;
const
  defWSDL = 'http://webservice.youiwe.co.kr/SMS.v.5/ServiceSMS.asmx?WSDL';
  defURL  = 'http://webservice.youiwe.co.kr/SMS.v.5/ServiceSMS.asmx';
  defSvc  = 'ServiceSMS';
  defPrt  = 'ServiceSMSSoap';
var
  RIO: THTTPRIO;
begin
  Result := nil;
  if (Addr = '') then
  begin
    if UseWSDL then
      Addr := defWSDL
    else
      Addr := defURL;
  end;
  if HTTPRIO = nil then begin
    RIO := THTTPRIO.Create(nil);
    RIO.HTTPWebNode.UseUTF8InHeader := True;
  end
  else
    RIO := HTTPRIO;
  try
    Result := (RIO as ServiceSMSSoap);
    if UseWSDL then
    begin
      RIO.WSDLLocation := Addr;
      RIO.Service := defSvc;
      RIO.Port := defPrt;

    end else
      RIO.URL := Addr;
  finally
    if (Result = nil) and (HTTPRIO = nil) then
      RIO.Free;
  end;
end;