I wish that were true in my area (upstate NY) but I tried it without the proxy, as that's my default internet connection, and it fails all the time. Put the proxy in (via another APN) and it worked. After Frals mentioned the "feature" of not looking at the check box, I tried that and it worked fine.

So, apparently at least in some areas, AT&T does demand that you use the proxy to talk to the MMSC gateway. I'm on an ancient leg of AT&T though, where it used to be CellularOne, then SMC, then Cingular... And Rochester has been a test-bed area for lots of tech, so it would not surprise me if our configuration was just a little tweaked compared to the rest of the US.