[citation][nom]bujcri[/nom]That option is missing from my Lumia 920 from ATT.[/citation]It's there on my Lumia 822 on Verizon. I'm going to agree that it's probably a carrier issue. It's definitely supported in WP8 - I'm sorry to hear it doesn't work for your AT&T phone.[citation][nom]Herr_Koos[/nom]Fully agreed. My MMS's are not working for the same reason. I have to manually enter the APN information, and so far it still won't send MMS's.[/citation] It's very rare that you should need to do this, and it might be the source of your problems. When I first got my Lumia 822 up and running on Verizon, it wouldn't send or recieve MMS. SMS was fine. I almost started tinkering around with manual APN settings, but then someone suggested powering it off and back on. Possibly I didn't allow enough time between powering off my old phone and getting the new one on the network.
I powered the phone off (I had to pull the battery anyway to install my shiney new memory card), and everything was fine after that, in fact the phone has been flawless ever since. I'd suggest you set everything back to auto and power it off and back on, and see if that helps.