@bgriffis Hmm.. yeah, if WiFi being off didn't fix it, it's worth considering whether it's the two APN settings vs one setting thing. Plenty of folks have had it work one way but not the other - mostly I've heard of North Americans needing two separate settings.
For me in the past, MMS only worked if I had two APN settings AND the APN & MMSC for MMS did not match the APN & MMSC used for Internet. I got around this by finding a "tethering" APN for my carrier and using that as the Internet setting, and the normal APN for my MMS.
I still do get the same message as you, "Could not fetch...", for maybe 10 or 20% of incoming MMS messages, and clicking Download only yields a second (and third, and fourth..) such message. But if the I ask the sender to resend the same file, it generally does work the second time. I have never been able to figure out why this happens.