Actually that makes a lot of sense to me. They went to a new cellular chip with the iPhone 4S. Odds are there is a software glitch. I'll try to be break it down to its base issues.
The 3G cellular chip is ALWAYS on. BUT the data routing is based on if WiFi is available. If no WiFi is available, it switches to the 3G data portion of the chip, changes your IP, MAC address and routing tables. Every time you press the home/sleep buttong the phone wakes up and lights up the screen. During that time frame the phone scans for the WiFi connection and if found switches to it immediately. If when going back to sleep if there was a step skipped or error occurred and the WiFi didn't 100% disconnect when you changed location, then the phone would think you are on WiFi when you aren't and would then permanently lock out 3G data until you did a reboot of the phone. There suggestion would fit with that since the first thing the phone does on boot is look for WiFi. By having it off it can only lock on to 3G data.
Thank you for posting this because now I can give sound advice on the subject.