After calling SE, I called O2. I'm one of their top customers (apparently - I get special customer service numbers to dial), so perhaps they spent a bit more time to debug things - I talked to them for over an hour.
The upshot was that the firmware released by SE hasn't been tested by O2 and is a generic firmware, thus they can't state that it should work (and seem happy to accept that it doesn't after going through the settings - and having me try my SIM in another phone). All they could suggest was to contact SE to ask to downgrade the handset firmware, or to return to an O2 shop and exchange it.
The problem is that the O2 stores don't have the handset any longer (it's recalled), and aren't certain when they'll get it in. As soon as they recieve the new stock they are happy to swap my handset for a replacement model, even though it will be well outside the 14-day window (after 14 days they usually send the handsets away for repair).
I think I'll sit back, keep using my handset with no GPRS/MMS/Email and wait to see what happens first - either SE call me with the O2 firmware, or O2 start selling the handsets in-store and I can swap the handset.
That's about as far as I think we can go for now folks.