I'm sorry to say, you've just experienced how much control other people have over your phone. The Vodafone people are only sort of correct about it being an AT&T problem. More accurately it has to do with the AT&T software that is installed on the phone. It may be set to automatically lock the hotspot without the proper sim and contract. They are desperately trying to keep hotspot as a extra money maker, so they have a lot of extra code written in to make it easier to pay them rather than find a way around it. To many, it is ridiculous to charge extra money for the data that you already pay for in your contract. An accurate metaphor is, if you bought a tank of gas, and then decided to put it in your lawn mower instead of your car, then you would have to pay an extra $20 for that month.
Anyway, because of this business practice, anytime you change services, you will have problems getting the same functions that you had with your old contract, thus prompting you to buy a new phone and contract.
The best way around this is to root the phone and install your own ROM. This gets rid of all the software added in to weasel more money out of you by restricting your phone.
Now I'm not sure about Vodafone, but they may have an extra payment plan somewhere that would let you hotspot again, but you'll have to check around. If I'm a little long winded, sorry. But feel free to ask me questions if you need more info.
