Nope, picked up a microsim from the Sheffield O2 store. They did the transfer for me in the shop and everything including visual voicemail was switched over and works the same.
The only difference I've noticed on my account is that I now have an additional bolt on (£40 oversees data limit) which I'm pretty sure wasn't there this morning.
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If you click "manage bolt ons" it tells you when they were added. Whats the picture message enabled one? Are you on the unlimited text tariff? do you pay for picture messages?