When receiving media content files (.jpg &/or other W10 defined 'media content') through text messaging, files do not open. No apparent "Download" action is completed.
On the phone: Settings > System > Phone > Cellular & SIM > SIM settings > Add an MMS APN (you are right, they could have hidden it a little deeper )
Fill in the required values, make sure the "Apply" box is checked and hit save.
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