So my question is. Would it be possible to have fMMS not use a system proxy via network configuration settings, requiring us to have extra/alternate network configurations, but instead to accept a proxy setting from us, then dial up using the details for the mobile provider network connection (whether already connected via wifi with a default gateway or not) and then set a host specific route to the proxy with the gprs0 interface and send the data out via that proxy. This should mean you can be online already, be it wifi or 3G and when you try to send an MMS it just magically works even if you're on 3G without a proxy configured for the normal OS/browser.
As for receiving, well I certainly didn't need to have a network connection open on my older phones, and on the n900 I disconnect to save battery. There presumably is some magic mobile provider low level signal, like an SMS which makes the phone decide it needs to connect up and collect? The 1.1 firmward mentions MMS API additions, perhaps this is exactly what it'll help with?