Seems to be an issue with the user agent that the messaging application passes to the server when it attempts to download the MMS.
Go SMS Pro just happens to play nice with Telecom XT MMS system out of the box (although I don't rate it as the best messaging app :(, but my favourite, Handcent, also doesn't work with MMS).
You can use stock messaging if you want, and just fire up Go SMS Pro when you recieve an MMS if you want. No harm in having two.
MMS received in Go SMS Pro can be viewed in other messaging apps.
I think I might:
Set Go SMS Pro to automatically download MMS but NOT notify me.
Set Handcent SMS to download MMS so I get notified (it will fail if it tries first but within a min, Go SMS Pro should have downloaded it.
Then I wont have to use Go SMS Pro at all, it will just be my MMS fetcher.