Originally Posted by Slug
If you're on Three then the SIM is only 3G-enabled as the network don't (yet) have a 4G service. That should make no difference though; the "4G (preferred)/WCDMA/GSM" option should still be available in Settings/Mobile networks/Network Mode.
Three launched their 4G network at the end of last year, so they'd be pretty stupid to still be sending out 3G SIMs, but it does look possible that it's either a 3G SIM, or faulty.
There's not much point me contacting Three for a replacement, as I'm currently awaiting a new SIM from Giffgaff due to Three's poor signal in my area (confirmed on another phone). I just wanted to find out whether it was the phone, the software update, or the SIM. My guess is that it was either a 3G SIM, or faulty, and that the software update disables the option if the phone/SIM is incompatible with 4G.
If the new Giffgaff SIM doesn't show the option, I'll look into it with Sony (new Giffgaff SIMs are supposed to be 4G ready)