I received an SMS message from this number, supposedly from MyGov about my security profile information having been changed, and if this was not done by me then to click on a link to "my-ato-pay.com"

This looks like a scam because it is a ".com" web address rather than something in ".gov.au".

Instead of clicking on that link, use any major Internet search engine (such as Google or DuckDuckGo) to find genuine government links for how to identify and report scams, and also how to check web site ownership without accessing the web site itself.

ICANN/whois lookup of the "my-ato-pay.com" domain does not give a meaningful owner name, and shows that it was created very recently (14 January 2023), both of which are also suspicious.