I'm not receiving MMS's from other people even if they're on Orange (same as me) but if I send an MMS to myself I receive it.
My phone has the keylock turned on, as with an incoming SMS the phone screen comes on when someone sends an MMS but the phone doesn't download it. It doesn't seem to make a difference if I unlock my phone beforehand either :/
The folders in ./My Documents/UAContents appear to be a part of MMS.
The files I found in MMS UA appear to be related to the MMS messages I'm not receiving as the date/time stamps matches...ie the phone is receiving something but then not displaying it.
Qtek S100 running the 1.12 ROM (MMS ver 126.96.36.199).