Hmmm... THats odd I guess I was reading your initial wrong and thought you meant SMS not MMS (Duh...
I am a sprint user so I am not sure about the mms thing. We have to load a program to even be able to send MMS. I dont know if its the same program that VZ users get or not but you could try loading that maybe. I am sure some smart person on here would be able to say if it works or not. It may need to be configured for VZ or something. I dont think the threaded sms will handle mms but I might be wrong. I dont use it.