Vodafone preloaded my phone with an unknown APN configuration, perhaps in preparation for its 4G rollout. However, this setting doesn't allow some VPN services to work for me. To change to the postpaid configuration the steps are as follows.
In the settings menu
Choose more networks
Mobile networks
Access point names
add
Name: Vodafone postpaid
APN: vfinternet.au
No user or password
In the settings menu
Choose more networks
Mobile networks
Access point names
add
Name: Vodafone postpaid
APN: vfinternet.au
No user or password
If in other countries, it would be as easy to set the APN up for internet and MMS use. One of the main things is to check the MNC codes from wiki.