One of the hardest things to do in programming devices like the o2
XDA 2 (http://www.seeo2.com/product/XdaIIi/template/XdaIIiProductInfo.vm)
is that you cannot debug the device with connectivity. That is, in
order to run the development enivironment you need to have the device
(Xda) physically connected to the computer by, say, USB. To transfer
information between the device and the development environment you
need to use a program like Activesync. But every time you put the
device in the cradle to sync it via activesync, it uses "pass through"
internet connectity and consequently disables the phone and GPRS. So,
we can never debug the unit with connectity; to fix even the smallest
bugs is a matter of tireless trial and error.

Is there a program (active-sync substitute) or some other means of
maintaining a connection to a windows mobile device like the XDA2
whilst still being able to use the phone / GPRS as a source of
connectivity?

There is no way to keep your phone/GPRS on while the craddle is up, as
Connection manager will always use ActiveSync connection.

That may very well be the case (it seems rather odd), but assuming you
are right, is there any other way to maintain an activesync-like
connection to the device and yet use the connectivity via GPRS?

May I ask, what type of information is that you wish to interchange
with the handheld and the computer, I may be able to help you.  There
are programs that enable a connections between a computer and a
handheld w/ out activesync

As I said in the question, I am trying to transmit data for debugging
purposes, ie to enable me to debug a wireless application WITH GPRS
connectivity. For this I need to interchange data between the device
and the development environment (Visual Studio, etc.)...