Not to be argumentative but this isn't correct.
When your iPhone says 3G it means that it is using UMTS (W-CDMA) for both Voice and Data connections. This is a very different protocol and works over different frequencies than GSM.
When your iPhone says EDGE then it is using the GSM network for Voice on a GSM Cell that supports EDGE specific data enhancements to increase data throughput over normal GSM data (GPRS).
Finally when your iPhone doesn't say EDGE or 3G then it is on a GSM Cell that doesn't support the EDGE data enhancements.
So really the 3G iPhone has to choose between two different Cellular technologies, 2G (GSM) or 3G (UMTS) and the device can't communicate on both of these technologies at the same time.
Have a read of the wiki pages for more information:
UMTS (WCDMA):
http://en.wikipedia.org/wiki/WCDMA
GSM:
http://en.wikipedia.org/wiki/GSM
Hope this clears things up.
-- Colm.