In first Nokia phones with GPRS (like 8310, 6310, 6310i, 6510, 3510 and maybe some other) phone was able to display "G" char instead of char displayed below network level. It was clear, that phone is in continuous GPRS session and downloading some data won't be connected with starting new session (in many networks connected with new money for operator). If phone end GPRS session after leaving WAP browser or data connection (no "G" char), it had disabled continuous GPRS sessions (it was done for example after upgrading firmware in service). Simple "gammu --nokiasetphomenus" "repaired" it.
Nokia 3510i seems to have disabled possibility of using continous GPRS sessions at all. Probably the same will be in other cheap Nokia models.
All other new models seems to have ability of making continuous GPRS sessions - at least some documents from Nokia say, that the same setting (the same, which was set for first models) should be set to enable this behaviour. "gammu --nokiasetphonemenus" sets it, but it looks, that or this info is wrong or new models continues GPRS sessions without informing users about it (no "G" char). I haven't checked it deeply. Maybe in free moment...
Short summary: GPRS was chance to save some money. It was wrong for cellular operators. Probably on their requests Nokia made sessions more enpensive (it's not possible to use continuous sessions or they're more hidden). Welcome in new connected world :-(