On my device I have none of these connection problems people are talking about.
I use 2 different WLAN access points, one at work and one at home, and when I am not connected to either of them I have normal Sonera (...yuck! ) 3G access.

I can freely move in and out of the networks, there's never any funny business with WLAN access or 3G access.

I do not use any android stuff or any instant messaging applications.
Hence, I believe your problems might be caused by some combination of those.