Have a Lumia 940 Dual SIM phone running Windows 10 Mobile that worked fine with EE PAYG. Got a plusnet SIM (a MVNO on EE in the UK), and it wouldn't connect to the Internet. Same network, etc, but not working :-(
When I inserted the SIM, the phone asked me to choose between LIFE and EE - I chose EE (this turned out to be the right choice, but it still didn't work).
Found an article suggesting setting up the APN; tried this; didn't make a difference. Besides, when I choose EE, it uses the right APN settings anyway.
The prospect of hours chatting with Technical Support filled me with sooo much dread...
In the end, I fixed it myself; this worked for me;
Settings > Network & Wireless > Mobile & SIM
Ensure Data Connnection is On.
For SIM 1, ensure it is On.
Tap SIM 1 settings (or similar).
Under mobile network, tap Search for networks.
After 1-3 minutes, it offers a list of networks. Choose plusnet (LTE, 3G, 2G).
I'm sorry to hear that you experienced issues with your mobile data, our SIM cards are designed to be automatically set up and good to go when inserted into a handset. I understand this wasn't the case for you and a few tweaks of the settings was necessary to get you up and running.
We do appreciate your feedback and we welcome any helpful solutions.
If you have any further questions or if there is anything that I can do to help, don't hesitate to get in touch and I'll do my best.