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In Settings>General>Network I used to have EDGE as well as VPN, Wi-Fi & Data Roaming. I set all my Edge settings up for my O2 account & they worked when I needed them. Was on 1.1.1 but since updating to 1.1.4 the EDGE bit has gone !
I don't have EDGE settings either and my phone is not unlocked or jailbroken. You must need some third party app or something. You might want to post this question in the iPhone Modifications forum.