If you are running the Technical Preview of Windows Phone 10, you may face the following issue (even with the last build):

you have a 4G connection BUT no data connection is possible, except with WiFi.

After having reported this issue for the last 3 builds (yes, already 3 builds and always having the issue), here is a solution.

  • Go to your phone Settings
  • Access the Extras section (this may differs depending of the build you are running)
  • Open the Access Point
  • Create a new APN; just fill the first 2 fields Connection Name and Access Point Name with anything you want
  • Make this new APN active
  • Once this has been set as active, switch back to your operator APN

Et voilà, data connection is now back.