If you do, then if some app is running that requires a mobile data connection, it'll use the mobile data connection even though WiFi is turned on. MMS is the simplest example - I can't think of any other apps that I use that would cause that to happen for long periods of time. The easiest way to find out would be to turn your mobile data connection off (as in the screenshot) - whichever app starts complaining is the culprit. Or if you notice that something isn't getting done (syncing with Facebook or whatever) then you'll find it that way. 