With another networks sim (I brought my iPhone 4S from XT, its on 2Deg now) you go to settings, General, Network, Mobile Data Network, and enter settings there. It wont let you do it manually if you're with the network you brought it from because it has settings built in I assume. I couldn't do it when I was on XT. But then again, I had no need to.
2Degrees Settings are not on the iPhone by default so as it cannot find the Settings for the MMC/MNC (530/24) on the iPhone. It will use a "default" Profile one the iPhone which allows you to Edit the Data Settings.
Lets Clarify this.
all have MCC of 530 (New Zealand)
MNC (01) Vodafone - Has all the Settings built in but Vodafone allow you to change settings (by hand)
MNC (24) 2Degrees - Does have the settings built in so uses the default profile which you can change settings (by hand)
MNC (05) Telecom - Does have the settings built in for XT and doesn't allow you to edit settings (by hand)
Where you "purchased" the iPhone doesn't matter (a NZ iPhone is the same if sourrced from Telecom or Apple Store) for the APN Settings as its all based in the MCC/MNC. BUT in some countries Apple allows carriers to Carrier Lock the iPhones so they will only work with their MCC/MNC
In the USA AT&T Locked iPhones only work with AT&T Sims (expensive plans) but you can use AT&T MNVO's SIm Cards as well in them (cheaper rates) as they are identified to the iPhone as AT&T.