It took me dealing with VM daily for 2 weeks on this issue to realize (on my own) what the problem was. You have to have the WIFI off in order to send or receive pix msgs.
Once I figured it out, I had (another) one of their tech support people call me and I told him I figured out what the problem was.
He said yes, when your phone is connected thru wifi it is not on their network.. you are on your own network (or whoever's your connected to) so you cannot download them. He also said he could not believe that after everything I had been thru, noone from VM could tell me that.
Its sad I had to go thru all of that just to get it to work but luckily I did, because they were about to send me a new phone and I would have lost all of my apps. :-(