under settings/gerneral/cellular you may have to call your carrier to get all the information to enter into the "Cell Data" and "MMS" data section. I have T-mobile, that's what I had to do at no charge.
I've had the same problem. I called my service provider and they told me: "You need to have your data turned on. Pictures are sent through the same frequency as data, but it is not billed. It doesn't use MB, but that channel must be open." I hope that helps