How to get it back... (archive copy held here - all credit & thanks to original author)
SOURCE
http://www.lukecjdavis.com/fix-internet-tethering-on-lollipop-xperia-z3-plus-other-android-devices/
- Enable developer mode (Go to Settings -> About phone, and press on the build number multiple times until the developer mode is enabled).
- Click back – you should see a new ‘Developer options’ menu entry. Inside this option enable USB debugging
- On a computer, install ‘15 seconds ADB Installer’ – available from the XDA Developers forum here. I selected ‘Yes’ for each install option.
- Connect the phone with a USB cable to the computer, ensuring you press ‘Allow’ to trust your connected computer from the phone
- Open a command prompt (cmd.exe) and navigate to the ‘adb’ folder directory (C:\adb if you installed system-wide – C:\%UserProfile%\adb if it was installed for the current user only). Type, for example: cd C:\adb\
On Mac: bash then cd /Users/{username}/Library/Android/sdk/platform-tools
- Start an adb shell by typing the following command: adb shell (or ./adb shell on Mac)
- At the adb shell prompt, run this command: settings put global tether_dun_required 0
- Type exit, then disconnect your phone and reboot
