I had the same issue with my Lumia 900 when I received it last Friday. I entered the IMEI and ICCID as instructed on the paper materials I got in the box (and from the AT&T e-mail I got instructing me on activation.
The Lumia 900 had issues with cellular connectivity. After ~30 minutes, it stopped receiving SMS, data, and phone calls. I restarted the device, connectivity came back, and it eventually dropped again.
I called AT&T, who confirmed that my iPhone's unlimited data plan was indeed upgraded to an LTE smartphone data plan. Numerous times, the employee on the other end confirmed that the correct data plan was on my account. The employee did a reset and asked me to provide the ICCID and IMEI numbers again. Restarted the device. Worked. AT&T employee sent me a text and phone call to verify.
I get off the phone. 30 minutes later. No connectivity again.
I checked my account online. AT&T's system saw my Lumia 900 as a non-smartphone. My unlimited data option, as well as any smartphone data option were gone and replaced with non-smartphone data plans. From the looks of things, it seemed there was no data plan selected for my account. When I pre-ordered my phone via AT&T Premier on the 30th, there was clearly an option for unlimited LTE data I was grandfathered into, which I selected. My e-mail confirmed this.
*sigh*
I explained everything when it was happening on Friday in another forum post on WPcentral.
http://forums.windowscentral.com/lumia-900-ace/189402.htm
I ended up, after speaking/chatting with 7 different AT&T employees on Friday, to simply return the phone because I wasn't getting anywhere. I wanted a refund. I got a label and asked that I not be charged for restocking and shipping and a full refund.
When getting my iPhone 4's unlimited data plan restored (which, the site correctly identified my SIM back in the iPhone 4 ... but still no data plan selected).
The first representative said that it wouldn't show an unlimited data plan because it wasn't offered anymore. The second representative restored it and it's correctly showing along with the newer data plans.
I checked my bill today and it looks like I was charged ~$30 worth of data and fees over what my bill normally is. I'm not and won't be responsible for data fees because they can't probably assign/identify IMEIs.
Total, utter confusion. Frustration over a simple activation.
I'd watch your usage, your bill, and what your AT&T representative tells you. Make sure your bill and whatever you were grandfathered into is there.