Hello.

I'm 99% sure that is just a new feature and there's a reason for that.

In PR1.2 PSM works anywhere, but there's a usability problem with internet connection. In PR1.3 the phone realizes that you are using internet (IM's, browser etc) so there's no reason to close down the connection. Only after you close the app that uses internet, it will shut down. It's one of the many "usability improvements" that nokia claims I guess.