iPhone missing APN Settings

I recently had my iPhone (4, 16GB, GSM from AT&T) unlocked (by AT&T, and saw confirmation in iTunes). I am now using a prepaid carrier, and needed to change my APN settings for there system, however the APN settings are not available in the phone (Settings >> General >> Network), the only option I have is Cellular Data (on/off). I wound up using unlockit to load an APN profile for my carrier, home come if the phone is unlocked we cannot change the APN settings (something we need to do in order to use data on ohter carriers)? AT&T unlocked the iPhone for me but all the settings still point to AT&T unless I use alternative means.

I did not know if I was mising something or if this feature is not enabling properly on unlocked devices, or what was happening, I was hoping maybe some other people have figured out how to make this option show, or if they have not maybe Apple or AT&T need to see that the Ulocked devices are not able to change data settigns from AT&T settings, I am not sure what is happening, but I would like to fix it (hopefully, or at least make it noted that it is a problem).

I have tried Reloading iOS from iTunes (recovery) and that pops up the Message "Congratulations, your iPhone has been unlocked" in iTunes, but I do not see the APN settings, I do not want to Jailbreak the iPone and I should not have to since I have it unlocked, I just want to be able to change the settings to allow other carrier data plans.

Thank you all,

David