The carrier your phone is locked to has disabled APN settings. You can edit them by doing the following:
Use SSH or iFile to edit the carrier.plist file in /System/Library/Carrier Bundles/<YourCarrier>. (Example in my case it was ../Carrier Bundles/AT&T_us.bundle). Add the following:
<key>AllowEDGEEditing</key>
<true/>
just after
<?xml version=1.0″ encoding=UTF-8″?>
<!DOCTYPE plist PUBLIC -//Apple Computer//DTD PLIST 1.0//EN http://www.apple.com/DTDs/PropertyList-1.0.dtd>
<plist version=1.0″>
<dict>
That should enable the APN settings.