The phone makes it so there is always an internet connection.
When Wi-Fi connects, Mobile Network turns off. Your widgets are simply reporting that Mobile Network is set to turn on when Wi-Fi disconnects. If you turn off your wireless and wait for it to connect to Mobile Network, then turn the Wi-Fi back on again, watch the top of the screen (by the clock) very closely, and you'll see
mobile network connected, then
Mobile and Wi-Fi connected, then
Just Wi-Fi