As far as I know it's because the ATT website only allows you to read your MMS messages via some flash based interface (which of course the iPhone doesn't support). The UK O2 website just using some web interface which also seems to allow you to directly pull the information you want when you provide your phone number and special code they give you when you get an MMS.
Now, if only O2 had a service where you could email a photo to them along with someones phone number and they would get an MMS then would be covered on both sides!