If SIM card is configured to require PIN, which by default it usually does, it must be entered. If PIN is required, you should see that in the main Overview page, displayed after logging to the router's WebUI.
Otherwise, if data connection issues persist, I would like you to attach a troubleshoot file to your question. Please, replicate the issue, then access router's WebUI, go to System -> Administration -> Troubleshoot section and download troubleshoot file from there. The logs in the file might provide more insight into the issue.
Best regards,