I found Samsung E800 feature, whenever SMS send, the phone will play special tone that indicated sms sent out successfully. If fail, it will play another tone that indicated sms sent out failure.

Wondering any Nokia smartphone having this feature? Currently I using N 6260 but couldn't find out this feature. Anyone can help?

No such send success/failure tunes/tones, directly, but you can turn on notifications in the Messaging app (Options > Settings).