I feel you with the data connection missing. Mine has that problem as well -- at first, it was because the AT&T preorder process can't handle data plans (it removed my grandfathered unlimited data). I had to call customer care and have them re-add it. Didn't notice yesterday (Friday), when the phone was delivered, since I was on WiFi the whole day, but when I went out to do some stuff today (Saturday) I realized I had no internet connection.
Called customer care this afternoon around noon, and they said they'd have it back on by midnight. According to the account status, it's back on Unlimited data but the 4G icon only pops up when I turn the phone on -- if I let it go to sleep, I can't get it back without restarting the phone. Once -that- isn't an issue anymore, I think I won't have a problem with it. (Other than the fact that I wanted at least a 32gig. I'm an audiophile who never knows what they want to listen to beforehand, so I like to carry my full collection with me. 50/64gigs on my sd card used on that.) Otherwise I am incredibly happy with this device. Taking some getting used to, since I'm coming from the iPhone 4, but the more I play with it, the more convinced I am I'll never go back to Apple phones.