The problem is as someone else mentioned FIPS.
I got my phone some days ago and I have tried to turn on internet sharing for two days now.
I turned on FIPS a day ago but removed the security settings at the same time, so then it didnt work.
It has been messy with this phone.
At first it didnt recognize the sim card. I tapped on sim card and then it started "working" Then suddenly it went black and I couldnt do anything, it was dead.
I found out how you should do. You press the on/off button at the same time as the volume down button, then it reboots.
Now I finally can use internet sharing. You hover at the bottom in the right on networks, click it, right click the actual network, choose view connection properties, choose security tab, choose advanced settings and tick "Enable FIPS".