I don't remember having any issue using Internet Sharing. But let me check again and get back to you.
The biggest issue I face with my phone though is terrible battery life. Sometimes the 920 lasts for even less than twelve hours. I've done the usual tweaks > manual brightness set to 'low', location disabled, tap+send disabled, bluetooth disabled, and even my mail is set to check after one-hour intervals. But I am a heavy user though - I make/get lots of calls through the day, use whatsapp quite a bit, and then a bit of texting and browsing.
What sort of battery life figures do you all see?