I have a Moto Droid running the newest Bugless Beast v0.4 Froyo.
I was previously having this problem on BB 1.1, but I had read in a few places that people were having trouble receiving MMS with Handcent, and I had uninstalled the default messenger app. So I figured I would upgrade my Bugless Beast ROM to the newest one, not use Handcent, and it would fix the problem. Except it seems that it hasn't fixed the problem. I'm not not receiving the message at all...no notification and no message in the thread.
If it matters at all, the person sending me the test Picture Message is using a Verizon Blackberry Bold.