I haven't been foloowing this thread but I don't think that its a question of restoring. Since its an AT&T phone, you will need to change the APN settings to the ones for your carrier. Restoring the phone will not do this.
Search up changing the APN setting to match your carrier
Like I said, I haven't been following this thread but those are my two cents.
Yes, that's what I thought/hoped and I had tried doing that both with unlockit.co.nz (I understand there have been mixed results with the iPhone 4 - and have tried installing by email which worked for some - I show the installation, just doesn't work) and Apple's iPhone Configuration Utility (phone also shows the installation but, similarly, no joy - if I swap the card into a Sony Ericsson I do get data/mms - which are active with my carrier - PlusGSM). Reset seems the next logical step but who knows...