I found that installing the latest version of Window 10 Mobile (Fast track Windows Insider), that I was able to get the Mobile Hotspot to function. I tried every trick to get my AT&T Unlocked Lumia 920 Internet Sharing to work on T-Mobile with Windows Phone 8.1, but nothing worked. Make sure that "access point" is not installed before installing Windows 10 Mobile, it will cause problems. After Windows 10 is installed, you will have to set the APN and MMS settings in Network->cellular + SIM.
APN: fast.t-mobile.com
MMSC Server: mms.msg.eng.t-mobile.com/mms/wapenc
Test that it works by sending a picture text message to yourself, this is a good indicator that the Mobile Hotspot (Internet Sharing, Tethering) will work. Then try enabling the Mobile Hotspot, hopefully it works.
Interesting...I just upgraded my Lumia 1020 to W10 10586.11 (Slow ring) and I still have problems
. I suspect the foreign SIM workaround would work but have not tried it yet (nor on 8.1). I do have Access Point installed so I will try, I suppose I may have to revert back to 8.1, uninstall AP, then upgrade back to W10.
Update: So in fooling around with my phone; I somehow got mobile hotspot working on T-Mobile on my ATT Lumia 1020 on W10 10586.11 (slow ring)! Not quite sure what happened...Here is what I did incase those with more technical knowledge may diagnose/figure it out:
Popped out T-Mobile SIM and inserted an old Rogers (Canada) SIM that is no longer active (phone automatically rebooted)
Added T-Mobile internet APN information manually (even though this was Rogers SIM)
Popped out Rogers SIM and inserted T-Mobile sim (phone automatically rebooted)
Sent myself an MMS to test and received okay
Shortly after, got an error message from Access Point indicating something was wrong and may need a reboot; I just ignored this
Noticed the T-Mobile Internet APN wasn't there after this error message (and data would not work)
Manually added T-Mobile internet APN (I did not select 'use this APN instead of one provided by my network operator')
Turned on internet sharing and it works! (toggling on/off also works without error)