The OP does say that he has it set up that way.

First off, check the most obvious apps, ForecaWeather, OMWeather, RSS accounts (if any are set up), Desktop news widgets etc.
Next go through your apps. Check the ones that were last updated, as sometimes they will revert to default settings after an update. Then check any positioning mapping apps that you've got installed.

It's just a case of going through everything to find the culprit.

As an afterthought, why hasn't Nokia caught on to this and changed the connection request to say something like "Suchanapp is requesting a data connection"
It's something that's always bugged me.