To quote Werner Ruotsalainen: "Anyone new to Pocket PC Phone Edition devices but well-versed in configuring Internet connections using "traditional" mobile phones will first be frightened [...]"
Or, as philtech44 said at modaco.com: "OK - lets start from the top! has ANYONE got their Universal to work as either a bluetooth or USB modem??"
I have ... finally.
What it boils down to is this:
With a traditional mobile phone, you just "dial" *99# to open a GPRS or UMTS connection to the world.
With a Windows Mobile for PocketPC, you have to get an extra initialization command like this one sent to the phone: AT+CGDCONT=1,"IP","internet",""
I have not entered an "AT" command since 1992 with my 14.400 bps modem - that was 14 years ago - so I just didn't realize I really had to do something like that.
I made this screenshot of the main settings so I would have something to compare to the next time I am trying to get a Windows Mobile device to work as a bluetooth modem for a GPRS connection.