When you try to make changes to the Incoming SMS settings or set a new lookup configuration in your Salesforce and get this error "Unauthorized return URL". Here is a screenshot of the error:
There is a critical update named 'Remove Instance Names From URLs for Visualforce, Community Builder, Site.com Studio, and Content Files' which when enabled causes the problem.
1)Deactivate the above update.
3)Activate the update again.