Are you sure? Try turning it on and then off. It will probably disappear.Well I am jailbroke, but running 3.01. I used the 5.0 update in the post above, and I still have the tethering option in Settings - General - Network.
My tethering is gone. I'm a little upset about that, but it's my own fault. I should have researched it better before hastily updating the carrier file. I would rather have tethering than MMS, but no use crying over spilled milk. I never really used tethering anyway (just like I won't use MMS), but it was so nice knowing it was there in case I ever wanted it.