I'm coming a little late to the party, but from many sources, AT&T and Verizon appear to be blocking tethering apps, like PDANet from the Android Market (not sure about iTunes).
This isn't a problem for me, since I rooted my Droid, and use Barnacle WiFi Tether. However, when I tried to use the over-the-air install feature on Android Market, I got this:
So, apparently the reports are true when it comes to the block. This is unfortunate, but still you can work around this mess.
Update (06-14-2011): I needed to reinstall my applications after a ROM flash on my Motorola Droid. I tried downloading Barnacle Wifi Tether straight from the Android Market, and it was able to install fine. Apparently, this is an approved app. However, when I tried to install PDANet, I received the same message as above.