You have to either press the Hard envelope button on the top left before you download the messages or if you have Home plugin installed you would click the envelope button on the left.
Direct Qoute from thread "To0's V3 ROM"
"This ROM also provides a fix for the MMS problems that us PDA users have been having, requiring the deletion of that DefaultConnections registry value. I recommend setting your MMS retrieval mode to manual, then whenever you receive a message, use either your envelope button or the left soft key on the Today screen to launch messaging and retrieve it. However, so long as you use either the envelope button or the left soft key on the Today screen to enter messaging, you should even be okay leaving it at automatic retrieval settings."