My mobile data is always on. If Wi-Fi is enabled, it just doesn't work. As soon as I turn off Wi-Fi, I'm good to go.
On most Sense ROMs I've had to do this. This is how I get it to work with WiFi on: I reboot my phone every morning. Turn WiFi off and send my first MMS (group message for work) and then put my WiFi back on. The rest of the day while on WiFi it will send MMS.
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