I had same problem. I’m on Virgin network with a Vodafone unlocked phone.
Have you got a proper micro sim, i.e. not a normal sim cut down to size? If not then you need one of those. The picture message settings are stored on a micro sim, unlike in normal sims where it is a phone setting. Also helps if software is up to date.
If you do have one you could try sending a picture message to yourself.
This is what worked for me: go into the app “Network Settings”. On the network selector switch back and forth between networks (say to orange, then back to vodafone) 3 or 4 times. Then try sending yourself a picture sms which will confirm whether it has worked or not. If you haven’t got the network settings app you’ll need to download it from the marketplace.
Good luck!
Si