Решение нашел в статье:
How to troubleshoot a missing Personal Hotspot setting in iOS 5
http://reviews.cnet.com/8301-19512_7-20128093-233/how-to-troubleshoot-a-missing-personal-hotspot-setting-in-ios-5/
Сводится к сбросу сетевых настроек (мой случай):
"Open Settings > General
Scroll to the bottom of the list and tap Reset Network Settings and confirm.",
а если не помогло:
"Open Settings > General > About > Name
Choose a name with no spaces or other characters.
Reset your iPhone by holding the Sleep/Wake button and the Home button
until the Apple logo appears."
