Just check the settings one last time here
http://www.geeksquad.co.uk/articles/o2-apn-settings#o2%20Android%20APN%20MMS%20mobile%20internet%20s...If it still doesn't work give CS a call and ask them to reprovision MMS on your account. This means they have to remove the MMS option for 24 hours then re-enable it on your account.
http://www.o2.co.uk/contactusUnless it is vital that you use the MMS platform there are other alternatives these days such as many of the free messenger services or even email.
All of which are available on the Xperia Z.
I have no affiliation whatsoever with O2 or any subsidiary companies. Comments posted are entirely of my own opinion.
This is not Customer Service so we are unable to help with account specific issues.Currently using:
Pixel 7a (O2 & Lyca), One Plus 6 (Sfr), iPhone 12 Pro Max (Vodafone)