Because AT&T will support this with the iPhone later this summer. Whining/ranting about it at a user to user help forum or anywhere else for that matter will not change this.
There must be a difference involving MMS with the iPhone since all carriers for the iPhone in 80 some odd countries are not supporting MMS with the iPhone right away. Less than half of all carriers for the iPhone worldwide are able to support MMS with the iPhone right away when it is supported with other phones on their network. You will have to wait just a little bit longer and not to worry, you will survive.