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1st make sure that cellular data on your phone is turned on and working.
Here are the Access Point Names for TELUS
make sure you use: sp.telus.com
Setting up Multimedia Messaging Services (MMS)
I found that manually adding the APN never works on Windows Phone.
Here is what to do:
Remove/Delete any APN you have added, even if it is correct.
Install Nokia Access Point (http://www.windowsphone.com/en-ca/store/app/access-point/ce3895c7-01d0-4daf-a4c3-25c10463942d?signin...)
It will appear in your Settings, open it and choose TELUS, you may have to restart for it to work but after that you'll be good to go.
Your out of luck.
I had a lumia 920 as well. Same issues as you.
Using the access point app from nokia does nothing, flashing an international ROM onto the phone does nothing, adding in APN settings manually does nothing.
Its a telus specific issue. Had no problems using the lumia on Bell, wind and virgin. Its just Koodo and Telus with the problem.