I have experienced a similar error: with my "fyve" SIM card (it's basically a rebranded Vodafone SIM here in Germany):
After the upgrade from B138SP04 Estonia ROM to the official Android 2.3.5 ROM I had a GSM connection, was able to make and receive calls BUT NO MOBILE DATA CONNECTION! I tried different things, did a reset, reinstall but it didn't work. Finally I downgraded back to Android 2.2.2. and B138SP04 and it worked fine again.
Strange thing is that my SIM did work just fine in a friends mobile, and his SIM(was O2) card did work fine in mine even WITH the official 2.3.5 ROM installed.
Must be some strange issue with Vodafone SIMs, reminds me about a bug in Cisco WLAN Accesspoints that wouldn't accept some intel Network Adapters which MAC Addresses started with a specific Code...
Edited by cmdr.r0b0t, 07 February 2012 - 05:44 PM.