@donniedoomsday3 - I know this is not much consolation, but I went thru' this a while ago (tried all the APN settings changes that BartmanJax summarized,) and have not been able to get that to work. If my mobile-data connection is off (but WiFi is on), I get notified about an MMS - and I see the download button. Clicking it doesn't download the MMS/picture, till I enable mobile data connection. Then, it downloads quickly.
I get most of my multimedia messages on Hangouts or WhatsApp, so I gave up on trying to fix this. Every now and then, I have to do that (mainly because I disable mobile data when I'm at office or at home - on WiFi)
Hopefully you have better luck.