I think I had the same problem. My problem was that the my network settings hadn't been configured yet. First use the network wizard to configure your connection(s), then run NoData (when there are no connections to be toggled, you get the error). Works fine on my HTC Touch WM6 now.
I, as well, am getting this same error message with nodata. Where is this network wizard in WM6? I have tried deleting my gprs settings, adding one, and later another, but still have been unable to get my GPRS settings to work, meaning I have been keeping my phone on off as 3mb data roaming in Brazil = 50 euros.... so I desperatly need some way to close data connection for all but the WIFI.
using a htc s710, wm6