TL;DR - Got this to work on UNBRANDED, UNLOCKED 1020, running 8.1.
I originally had an AT&T branded 1020 that I had unlocked. The procedure in the first post worked fine until I upgraded to 8.1. Picture messaging worked, but not internet sharing.
Just came back from MS store after exchanging the AT&T branded one for a new, unlocked and unbranded 1020, which came with 8.0. Out of the box, internet sharing did not work.
All I had to do was update to 8.1 and picture messaging and internet sharing started working. No weird SIM tricks. I am running 8.10.12393.890