What character code are you using (AT+CSCS?)?
#CMGLCONCINDEX. is available from 7.03.x02. Please upgrade the firmware to this version and test again.
There is no 7.03.02 but 7.03.402. Firmware numbers are 7.xx.abc where xx is the major version number, abc the minor number with a being product designation, 4 is for GM862-GPS.
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