The biggest issue with the WiFi getting turned off during sleep mode is that most WiFi systems require periodic re-authentication. This re-auth can occur due to anything from client roaming to session time-outs to client disassociation. In this case, when the wifi radio is turned off to conserve battery power; it disassociates from the access point. This will require the device to re-authenticate with the wireless.
This is a non-issue when using a layer 2 authentication like WPA/WPA2 Pre-shared key or 802.1X as the key or credentials are cached on the phone and the re-authentication occurs seamlessly in the background without any user interfacing required. In cases like enterprise guest networks, however; where a layer 3 authentication policy is typically used (i.e. Web-Auth or Web-Passthrough), the user must open a browser and re-enter their credentials or re-accept the EULA every time their iPhone comes out of sleep mode.
I have seen in some forums that iOS 4 and/or later revisions will offer persistant WiFi capabilities to prevent issues like this, yet I have not been able to confirm it. As a mobility consultant who deals primarily with Cisco Unified Wireless networks, I am seeing this issue more and more. In the case of one of my larger customers, their campus consists of many old marble buildings where 3g has minimal to no coverage at all. WiFi is the only way for many of the clients to continue to receive emails, etc... Is there or will there be a way to keep the iPhone wireless radio on while the device goes into sleep mode?