Thanks for your responses. Are you using Cricket sim cards in these phones for which tethering is working? Also, do you mind sharing what APN settings you are using on those same Lumias?
The reason that I ask about the APN settings is that the situation with your phones sounds to me like you have managed to access the cellular network in such a way that your devices are identified as AT&T devices rather than Cricket devices. If that's the case, kudos to you!
Interestingly, my sim-unlocked T-Mobile (US) Lumia 521 was just updated to 8.1/Cyan today, and when I booted it up with my Cricket sim I was presented with an Access Point option for AT&T or Cricket. With this firmware the 521 has Internet Sharing as a Settings menu item regardless of whether AT&T or Cricket is selected under Access Point. Unfortunately, when I try to toggle on Internet Sharing under either Access Point network selection I get the same message: "Connection not shared Internet sharing isn't currently allowed." Also, when I boot up the 620 (which is sim-unlocked) with a T-Mobile sim, Internet Sharing shows up in the Settings menu.
Given my experience with my 620 and 521, in addition to what I was told months ago by the phone sales rep, my understanding is that Cricket has made back-end changes to restrict or eliminate tethering. This is supported by the fact that my Cricket sim either prevents the appearance of Internet Sharing under Settings or disallows the enabling of that feature. Since I am using APN settings that are supposedly specific to Cricket, that might explain the discrepancy between your experience and mine.
BTW, for both of my Lumias the APN settings are entered via Access Point rather than Cellular + Sim. If your 925 has a similar configuration maybe you can get tethering to work on that phone too.