I have a data plan, still I'm not able to rent a film with it, it tells me that I got to do it over a wifi connection, what is the purpose to have data plan it you can't use it?

Data plans usually have a single file cap on size. Sometimes it's 20 meg, other times 50.

Dunno if it's a 'large bill shock preventer' or a simple 'don't hog all the bandwidth' mechanism.

All iOS devices have a limit on the size of files they can download over cellular: 50 megs. Anything larger must be done over WiFi. This does not prevent you from using your cellar service for many other things (email, streaming music, downloading smaller files, web browsing) so, it's hardly useless.