VMN (Virtual Mobile Number) facilitates 2 way communication through short and long codes. Through this customers can send SMS starting with a keyword. If you sign up for a VMN account, you will be assigned with a phone number to which you will receive all the incoming SMS. To know more about short and long codes, read this article
You should have credits in your Inbox balance to receive the customer replies to your VMN. If your account has 0 credits, then you might not receive messages through the keyword.