If anyone runs into issues with the HTC WiFi sharing app, this is what I experienced:

The app said I had no data connections, though my data would work just fine. It was using the "My Work Network" which has no dialing rules to connect to data - which is why it kept asking me to set one up. I simply unchecked the box saying that my work network connects to the internet, and it defaulted back to "NETWORK" which has #777 for its dialing rule, now all works well!