So with this method I was only able to connect to the media link. If I try to connect to wifi while connected to media link it seems to break the connection.
One interesting thing that kind of worked was putting my phone into airplane mode then connecting to my wifi, then connecting to media link. Unfortunately this let me use wifi while connected to media link but after a minute or two it always disconnects giving a message saying it is unable to turn on USB tethering.
So I called At&T and got the same response as others here. I have to purchase the tethering plan to use the media link. I explained that there was no documentation to that effect and that the problem is only with this phone. Other phones work fine without the tethering plan. The operator forwarded me to HTC. HTC said they are aware of the bug and sent me this email for a work around.
"At this time, this issue is under analysis and we hope to address this with a future update. However, I do not have an ETA as to when the update will be available. I would recommend that you keep an eye on our official website and social media outlets. Once we have any information regarding the release of an update for your One, it will be announced on these sites. Also, you should receive a notification directly on your phone when an update is available for download.
In the meantime, I do have some steps that you can try as a work around to use your Media Link HD until a permanent solution is established.
First, make sure the Media Link HD is plugged into the wall outlet and connected via the USB cable for Power. Please also make sure it is plugged into the TV with the HDMI Cable, the input on the TV is set to HDMI, and the indicator light is solid blue/green.
Next, on your phone turn on Airplane Mode by going into settings>toggle Airplane mode to the on position and then turn on your Wi-Fi. Once your One successfully connects to WiFi, then try to initiate the connection to your Media Link HD by dragging down the notification bar>Media Link HD>Media Link HD again. Please remember to turn off Airplane Mode when you are finished using your Media Link HD. If you do not turn off Airplane Mode, you will not be able to use your One for calls or mobile data. "
I tried this work around and like others here, it only worked for about a minute before it disconnected and I received a message on my phone stating I needed a mobile hotspot plan. One other bug I noticed is that it puts the phone in landscape mode (which makes sense) but if it's on the blinkfeed screen I can't swipe sideways to get to any of my other home-screens.
I guess I'll just have to wait for the bug fix.