Assumption #1 is not correct.  You do not have to connect via ActiveSync to
debug.  Of course, trying to debug via the cellular network is going to be a
trick, if the packets will even be forwarded by the cell provider.  If you
have WiFi, you may be able to configure which network *that* connects to
(The Internet/Work), in such a way that debugging occurs over WiFi, but
connection to the server is via the phone network.  Here's the page that
tells how to debug without ActiveSync:

http://msdn2.microsoft.com/en-us/library/ms228708(VS.80).aspx

You may also be able to configure ActiveSync so that *it* looks like it's
connecting to Work, not to The Internet, which, depending on how you access
your server, may work, too.  The idea is to make the phone think that the
server is an Internet 'device'.  It will access named addresses with dots in
them (www.microsoft.com, myserver.myhost.com, etc.), through whichever
network connection connects to The Internet.  Names with no dots are assumed
to be on the Work network (localserver, joespc, etc.).

Paul T.