The same thing happened to me.
Scenario - you buy a phone that does not accept mms messages, but someone tries to send you one. What is supposed to happen is that O2 sends that phone a text message, telling the user that they can access the mms picture online, via the internet. O2 don’t take too much notice of whether the phones that are being sold are mms or not, the default is mms = FALSE. You need it to be changed to TRUE on the O2 computer systems.
You can do this by calling O2 customer service and asking that they "provision" you for mms.
Hope this helps.