I have seen this a few times in that the connection over 3G works fine over various carriers but O2. I myself had this problem and called O2 directly who helped give me settings to allow this to work.
I am not posting those details here incase they are incorrect for your account type (pre-paid or contract monthy).
Give O2 a call and see if they can help you. As you can see it seems to be only on O2 with some account types as the other carriers seem to work fine.
Alas I don't feel good about providing the specific APN details as there are differernt APN settings based upon Pay as you go - Contract and consumer v's business based account types. I could break settings or worse the details could provide you internet service but outside of your plan and result in costs you should not have to incur.
Honestly, I would give the carrier a call and explain this. I have known of other users who have called and were able to get this working over 3G.
Sorry I could not be more helpful but I hope you can understand.