PROBLEM IDENTIFIED AND SOLVED (sort of}
Well, after some digging and a lot of help from both customer support and tech support, I now know that the problem with receiving (and sending) MMS messages while roaming is essentially that not all data is created equal.
The North America "UNLIMITED" talk,text and data plan does NOT include the data needed to send (or receive) an MMS message when you are roaming in Canada. If one wishes to use the MMS service one must have prepaid extra for it. That may have more to do with the cellular providers there (Telus and Bell) than it does with T-Mobile, but I digress.
The upshot is that the unlimited data plan is NOT, in fact, unlimited.
Fortunately, the work-around is simple enough, albeit in this context, mind-bogglingly senseless. Simply send and receive pictures that would otherwise travel via MMS by e-mail instead. Same data, different stream. No extra charges. Apparently the e-mail data IS unlimited unlike the MMS data, which is, NOT. However, SMS data IS also unlimited.
Alternatively, I suppose one could just keep a sum of money in one's account to cover off the extra data charges for the "UNLIMITED" data plan. But that would somewhat abrogate the intent of an "UNLIMITED" data plan, wouldn't it? I really MUST sign up for a remedial tutorial in advanced comprehension of the Queen's English. Or somebody should.