First, ActiveSync does indeed use (what I would call) Internet Connection Sharing (ICS) ... i.e. when ActiveSync is connected with USB or Bluetooth, and Use USB and a Bluetooth COM port are checked in Connection Settings in ActiveSync, then the MDA will share the PC's Internet connection over either of them.
The key is: the MDA is only capable of one Internet connection (in techeze, it has only one TCP/IP software stack). The stack gets passed around between the 4 possible Internet connections: USB, Bluetooth, WiFi, GPRS/EDGE. Whoever has the stack is "it".
When USB is connected, USB gets the stack. Therefore, the Internet connection will be over USB using ICS on the PC through ActiveSync.
When Bluetooth is connected, Bluetooth gets the stack. Therefore the Internet connection will be over Bluetooth using ICS on the PC through ActiveSync.
That means during either of USB or Bluetooth connections, browsing and email will "come over" either USB or Bluetooth, respectively, and through the PC's Internet connection.
That also means, WiFi and GPRS will be "over ridden" or "in the background".
You can check this by turning off Bluetooth, WiFi, and Phone in Connection Manager on the MDA, plugging in USB, having USB enabled in ActiveSync under Connection Settings on the PC, and then browsing the Internet ... it will browse (check your little two monitors on the PC and your PC's Internet connection will be active while pages are loading on the MDA).
This will work the same if you are not connected with USB, but with Bluetooth.
When USB and Bluetooth are disconnected, if WiFi is enabled and "connected" to a WAN, then WiFi will get the stack. Therefore the Internet connection will be over WiFi through the WAN access point (AP). [Note: WiFi won't connect to a WAN AP while USB or Bluetooth are connected 'cause WiFi needs the stack to get an (IP) address from the WAN AP, and USB or Bluetooth has the stack.]
When USB, Bluetooth, and WiFi are "not connected", then GPRS/EDGE will get the stack. Therefore the Internet connection will be over GPRS/EDGE through the T-Mobile Network.
So, as an example in my case, I wanted to be able to plug my MDA into my PC to keep it charged at work, and still have it get email and phone calls. So, I now know I can turn on Phone, turn off WiFi and Bluetooth on the unit, then turn on USB (and the Bluetooth COM port if you want) in Connection Settings on the PC, and now the phone will charge, get calls, and also get email over the USB-ICS connection too.
The seems almost trivial now that I understand it, but it was not clear at all to me at first, so I thought this would help someone else.
In the end, I have to say, the MDA and WM5 is growing on me more and more.