I've seen this Videotron issue around the board a couple times. No definitive solution seems to have appeared.
Lets think about it logically: your MMS APN must be correct or you could not send MMS. It is patently absurd to believe otherwise. There is no "partial" MMS APN and no second slot for "receive."
The other common trick, borrowing from Vzw WP on GSM, would be to force 2G... But that is crazy as well. How do you know you are receiving an MMS to flip to 2G ahead of time? And who wants to run around in 2G all the time? Looks like Videotron doesn't even have 2G at any rate, probably due to the CDMA phase out in Canada...
Here's a last ditch effort:
http://forums.windowscentral.com/nokia-lumia-920/211644-2.htm#post1968529
Also note that Videotron is an odd duck. They list their UMTS (3G/H+) as 1700 MHz.
ONLY 1700 MHz. Wind and Mobilicity are this way also. I see many issues from these subscribers being posted to the fora. IDK if they also use 2100 MHZ without mentioning it or they simply don't lease it. The vast majority of phones tapping 1700 in the UMTS range are doing so on band 4 AWS which means they use 1700 MHz for the Uplink and
require 2100 MHZ for the Downlink. Your service may simply not match your phone's radio all that well. I'd love some confirmation as to which UMTS band Videotron is using. I suspect strongly it is not band 4 which your RM-940 uses.
I believe MMS usually drops down to the lowest data speed and on most carriers that would be 2G. Your service appears not to have 2G so your phone drops it to 3G where the radio can Uplink, but not Downlink due to the band difference between RM-940 and Videotron.
Note that I'm extrapolating here...
https://en.wikipedia.org/wiki/List_of_mobile_network_operators_of_the_Americas#Canada
https://en.wikipedia.org/wiki/UMTS_frequency_bands