AT&T in the US were not meant to be offering tethering and MMS at launch for 'system upgrade' reasons.
From Engadget
Update: Turns out the secret to enabling MMS and tethering lies buried in the carrier settings file, which happens to be the same black magic employed to roll out 3G MicroCell support a while back. Customer devices are at AT&T 4.0, but there's an AT&T 5.0 profile floating around the interwebs that turns the features on -- it's just a matter of finding it, installing it, and making sure that your account is provisioned for multimedia messaging. Thanks, everyone!
