I have just spent over an hour on the phone with the most knowledgeable Vodafone tech you can imagine. Most of the call was about unrelated matters, but while I had him on the phone I described the issues we have been having with Vodafone, iPhones and Audi, and our confusion about whether the problems we were encountering were with Vodafone or iPhone SIMs and got the following information.

UMTS units (ie the Audi, the phone, whatever) each have two identifiers, the EMEI code and the IMSI code. With some data contracts the determination of your tariff and usage depends on those numbers being recognised as being related to the same unit. Thus, with some contracts, there will be an initial success in connecting to data but a "safeguarding" process will step in and terminate the data connection if the codes don't match. Some iPhone contracts have that safeguarding, but others might not. He was not sure what other providers do.

Furthermore, Vodafone did a deal with Apple in the early days, whereby iDevices get a faster access channel to data than to other devices. Vodafone iPhone customers have an APN called access.internet, whereas everyone else just has an APN of internet. iPhone SIMs are set up to expect to use the access.internet APN, which the car will not understand or not be able to use. Now, I don't quite follow this, and may do some more research, but my APN says wap.vodafone.co.uk, but maybe he is talking about something else.

Anyway, the bottom line is that it's not a question of iPhone SIMs and it's not a question of Vodafone, it is a question of the combination which is likely to fail.

I hope that this information is useful to someone more technical than me to take forward.