Update: Microsoft's Matt Bencke responded and gave more detail on the status of tethering on the Windows PHone blog (Thanks, @techSage)
"I appreciate your pain around tethering (using your device as a modem) as this has been something that I've used in the past. Tethering, in the past was something that we managed independently of the Mobile Operators (e.g. AT&T, Orange, Verizon). In recent years, the Mobile Operators have now taken ownership of this functionality x-all platforms (e.g. our competitors as well as us). We are continually working with them and our OEM partners to enable this functionality for our devices, but at this time there isn't an announcement that we've made in regards to rolling out this feature. Stay Tuned!"