discussion with apple.
Everyone having this issue should call 1-800-MY iPhon. Ask to speak to Tier II support, the person you get may try to help, and may need to give you a case number. You'll probably have to wait a while on hold.
I just spent an hour on the phone with Tier I & II. The tier I guy started by saying that when you use EDGE it will always go to voicemail. I told him, I was on a user forum & some people said they don't have the issue. He then tested it on his phone & experienced the direct to v-mail issue. We talked about how this was a real problem & how both of our nokia phones didn't have this issue (he actually had the E-61 also). He gave me a case number & transferred my to tier II. The tier II guy told me that this was a software issue. That a pop-up needs to be designed into the software to allow the user the option to disconnect the data connection & accept the voice call, or not. I told him that I'd read on a user forum that some users get voice calls while using EDGE. He said that if they are using you tube the call will automatically interrupt & switch out of you tube. We then tested this on my iPhone & it worked (i.e. the call interupted you tube). He said the software currently decides to disconnect data or send calls to voice mail during EDGE transmissions based on what the user is doing. Phone calls take priority over you tube & widgets (stock & weather)but safari and e-mail take priority over phone calls. He said the thought was, it would be more annoying to users to be in the middle of sending an e-mail and having mail disconnected for a phone call, than having the call go to voicemail. The ideal solution is to have a choice (like other phones allow) but right now the iPhone software does not have a pop-up designed allowing the user to accept the call or keep the data connection. (He seemed to be familiar with this on other phones while being tethered to a macbook to use their data connections & getting voice calls during downloads).
He said he was submitting this to the engineering group & said the more people that call tier II about this & submit it as an issue via online feedback, the higher priority it will get to be addressed in the first software update. So if you want to see this fixed start calling and submitting the issue
http://www.apple.com/feedback/iphone.html in as much detail as possible (specifically say that other existing phones Nokia S60s etc. have this function).