Yes,it is introduced in a firware version,don't know which one but you have to set it on every new message.Search the forum for more info or update your device to the latest firmware.
Here in the UK, if you type RPT at the start of your message you get a delivery report sent back to you. But as this is the UK, and we are a mad country, who knows if it will work anywhere else
Actually, try a ! (exclamation mark) as the first character in the message. It works using 'Pronto' on the Isle of Man, UK with a P800. Came across this by accident.