In order for our Windows Phones to ever tether via WiFi, it needs at a minium specific hardware--a BRCM 4329 chipset. A few days ago, via XDA, it was reported that the Dell Venue Pro had a BRCM 4325 chipset and therefor was completely out of the running for ever having Internet Sharing/tethering even hacked on, let alone officially granted.
Now some contradictory information has appeared, information which we are much more likely to believe due to the source, which is the official service manual for the Dell Venue Pro aka Dell Lightning.
Scrolling down to hardware specifications and looking under the WiFi/Bluetooth/FM area on page 7, we can clearly see that the BRCM 4329 chipset is listed, meaning in fact the Dell Venue Pro can have WiFi tethering/Internet Sharing--in theory, at least. Assuming that info is correct, and we have little reason to doubt that it isn't, then all that is needed are the correct drivers--no small feat for such a unique phone. Still, there's little technical reason as to why Dell couldn't offer the Internet Sharing capability of Mango, if they chose.
Download the service manual here and take a look for yourself. Big thanks to Tom for the tip and the file upload!