Well that's my point. AT&T has different messaging plans set up for the iPhone that are Text Messaging only. It's kind of annoying.
However, I just got off the phone with AT&T myself and from what we worked out, if you have the iPhone Unlimited messaging plan, it somehow includes MMS in the deal. Otherwise, you can request that they switch you from the iPhone specific messaging package to the standard equivalent messaging package.
So for example, up until 2 minutes ago I had the iPhone Text Messaging 1500 package on my plan, but now I just have the regular Messaging 1500 plan that costs the same and includes MMS.
Talk about wonky.