I'm connecting to a Sony Ericsson W950i on O2 and I don't have any "Supplementary AT Commands" specified. You appear to have AT+CGDCONT=1,"ip","three.co.uk" which is where it's failing, have you tried clearing this in Connectivity->Connections->Advanced->Other? I added the same supplementary AT command to my BT DUN connection (using o2.co.uk instead of three.co.uk) and it immediately began to fail.