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.