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.