I also have a Lumia 920 from AT&T, unlocked for use on T-Mobile. I was able to resolve the Data & MMS issue by manually adding the APN's. In settings search for SIM > Select the SIM listed > Properties > scroll down and click to add an APN under MMS and another under Data.
Data:
Access Point Name (APN): fast.t-mobile.com
MMS:
Access Point Name (APN): fast.t-mobile.com
MMSC Server:
http://mms.msg.eng.t-mobile.com/mms/wapenc
On the SIM Properties page, scroll back down to the APN's, and click the ones you added, click "Activate", the restart your phone. This fixed the problem for me. But, quick warning, I still get the Access Point error page, and as of this morning no longer get a signal even after restarting my phone several times (I get a signal for a second or two after rebooting, then it dispersals and I get the Access Point error message).