This one is a bit complicated but it's real important for our international users or those who travel/swap SIMs a lot. Turns out, on a lot of unlocked/unsubsidized devices with Windows Phone 7 have Automatic Data Configuration (ADC) disabled by default.

ADC is used when you boot up the device or replace the SIM to configure the phone for network provisioning, including MMS.  To make matters worse, there is no manual configuration for MMS on WP7. What all of this means is that a lot of users who use pay-as-you-go or swap SIMs often can't send MMS messages. Normally, users would have to hard-reset the phone (!), insert SIM and let ADC run--but even that is a lousy solution, after all who wants to hard-reset their phone for that? Basically people are buying unlocked phones with crippled MMS functionality.

Now some OEMs, like HTC, have a connection manager in their app store  (HTC Apps --> Connection Setup) which will get around this issue and allow HTC users to configure their phone.  Samsung has their Network Profile app too, but by most accounts it doesn't work very well. LG users can access their MFG (hidden configuration menu) and re-enable ADC themselves.  But it's the Samsung users that don't seem to have a solution right now, even though we have a MFG menu, we haven't found the ADC settings yet.

Microsoft is aware of the problem and it has been escalated.

Source + Read More: Microsoft Answers