It depends on different factors. Nokia, for example, allows since MIDP 2.0.1 for trusted 3rd party domains to configure the application to allow always sending SMS. See here. But in general it depends on vendor, device, etc. You will not find a solution that will work everywhere equally and out-of-the-box.
My application runs on Nokia N70. I do not know if this piece of info helps.
As I know there is in j2se class called robot, it imitate pressing a button on keyboard. Does something similar in j2me exist? So I can suppress this screen ?
Also I have another idea to solve this problem :
Can I read from the current displayed object (i.e The confirmation message) using my application, and pass an ok to this screen? I think this is logic but I have no clue how I can accomplish this
Don't know to which series the N70 belongs to but you find an overview in the Nokia Wiki (under "API access settings on real phones") which device is capable of what. This site should answer more or less all your questions regarding this topic.