Instead of recieving MMS messages to my phone, they are emailed to me from at&t. I did a little digging. I found that the messaging app is asking for MMS settings. What do I need to set this too. I am on At&t in Seattle with a locked Lumia 920.
It should get that info from your account if the SIM is registering on the network. You may want to try and reboot of the phone and see if it picks up, otherwise call AT&T and see if they show something wrong/missing on the account.