Enabling tethering / Internet sharing on an unlocked Nokia Lumia 920
This process is sort of silly, and the prerequisite is that you are not using the carrier the phone was branded for (or are using an unbranded firmware).
I have T-Mobile, so the problem I kept running into was that I couldn't toggle tethering on because it would tell me that I didn't have tethering enabled on my plan (I do, everyone does), and then when I went through the steps, the T-Mobile upsell page thought I didn't have tethering. And then it did. It was confused. ☺
Anyway, pretty simple solution. The device has a registry setting or something that tells Internet Sharing that it can't be turned on right now. On your device's home network (AT&T or Rogers are likely), the carrier is running some software that sets this flag. When you put in a SIM from another carrier, their code gets bypassed. However, you typically have to install the Access Point app to get things working with your new carrier. This causes every carrier's code to get run as you switch SIMs in and out. This sucks, because it seems like T-Mobile's code in Access Point is buggy and flags Internet Sharing as unavailable. The problem is Access Point. So, how do you fix it?
First, get things working with Access Point. This was automatic for me, but your mileage may vary. Next, you need to get the phone into installation mode (spinning gears) in order to clear the registry key that Access Point sets. You can do this by installing a language or a keyboard. Your phone will reboot into installation mode. Once it comes back up, go into Internet Sharing and verify it works. Next, set your device's date far into the future (year 2100 worked for me). This causes the certificate on apps to be invalid. Try to open Access Point and it will ask you if you want to uninstall the app. You do. Next, put the date back (or put it back on automatic). You should continue to have tethering. Uninstall the keyboard or language unless you want to keep it.
If that doesn't work, try putting the phone into airplane mode before rebooting to install the keyboard/language and then turn airplane mode back off once you've uninstalled Access Point.
Something weird that I notice is that the Cellular control panel doesn't think any APN settings are configured. They are, but the UI doesn't see this for some reason.