iOS 5.0b2 was released a couple of days ago and mobileconfig files (the supported method that Apple give instructions for) don’t install the APN Settings Properly. I’ve tested the Apple iPhone Configuration Program as well and its mobileconfig files don’t work either. The mobileconfig files seem to install but the settings don’t get installed onto the iPhone when you look at what it has done.
This seems like a bug on the 2nd Beta of iOS5 as with the first version they worked fine. At the moment (if you can) you will have to put the settings in by hand (if you can) or just wait until there is a fix probably with a new beta when apple bring it out.