My settings (the only ones I have changed) were after opening a contact to press menu and choose personal ringing tone, and after the personal ringtone worked nicely. I checked the personal tone, and it was set to "on" as is the case for you. Try putting a mp3 tune to your phone's memory (not the extended memory card) and choosing that as your ringtone, just to check if the fault is in having to have the tone in a different memory place (just a thought (-: )
The ringing tone setting for "play for" is set to have the default all calls ring (my user interphase is in another language, so some terminology might be wrong, sorry) and so the issue seems to be due to the locked sim-card, and as such you might want to contact the technical support for your phone operator. I wouldn't know, because in our country only 3G-phones are legally allowed to be sold with locked sim-cards and as such these phones definately don't have this problem.