Hi Michuki;
Please note that an SMS coming from a Safcom subscriber will ONLY go thru the Safaricom SMSC. Also note that you are a ZAIN subscriber so the  HLR serving is ZAIN HLR back in Nairobi even  while roaming. Normally while roaming the HLR (Home Location Register) will temporarily send your info  to a VLR (Visited Location Register) in the roaming country.
Once an SMS is sent to you from Safcom (In Kenya) , The ZAIN  VLR  is responsible  for terminating the SMS. The ZAIN  VLR must  send back an acknowledgement to  the Safcom SMSC that  the SMS has been delivered  etc.
If  the SMS does not get this acknowledgement  it will keep sending the SMS untill the storage period  in the SMSC expires or delivery attempt count is reached (Whichever  comes first). So  the problem is most likely between the Safcom SMSC and the Zain VLR.
The best place to start the troubleshooting would be the Safcom SMSC as an error is generated anytime a delivery attempt fails.
I trust that we have ZAIN/Safcom VAS guys on this list who may asist. I can assist any of them in the troubleshooting if need be.

BR;
Joram