Not supported today
SMS and phone/voice channels are not supported. They will not be shown as available anywhere in the product before they actually are.
On the way
Instagram and Facebook: customer identities from these channels work today, and actual message delivery is in development. When it ships, it will show up as connected — not before.
The supported path for everything else
Other systems can connect through webhooks with cryptographically signed, verified requests. That is the integration path that exists today.