no you dont, the rogers 920 comes with the settings to be edited
Does the Rogers Lumia 920 have both Internet Sharing and MMS on T-Mobile working after changing MMS settings to T-Mobile?
I tried an unlocked AT&T Lumia 900 on T-Mobile before getting the Rogers Lumia 920.
Internet Sharing works if not using Nokia's Network Setup to apply MMS settings. After using Network Setup to automatically apply T-Mobile MMS settings, Internet Sharing stopped working.
(AT&T Lumia 900 does not have MMS settings in Settings -> Cellular, so it needs the Network Setup app to apply MMS settings which I believe is same as the Access Point app on Lumia 920)