I just posted to customer care about my Siemens S56 not working with
data (admittedly not a T-Mobile phone).  I gave them a snippet of my
modem dialog. I told them I did it exactly as the configurator told me
for a Siemens CF62T.  This was my reply:
I apologize for any inconvenience or confusion that this may have
caused. Unfortunately, the Siemens CF62T cannot be used a modem. Hence
the reason why you are not able to connect.

The Siemens web site says that the CF62T has a Data/FaxModem and GPRS
up to 53.6kbps.  So are all Siemens incompatible with GPRS data on
T-Mobile?  What other phones might not work? Or does T-mobile just not
want to deal with getting into the phone menu by hand and setting
something up?