Indeed, you read that correctly; even when connected to wi-fi, Windows Phone 7 seems to be defaulting to cellular connectivity when there's a wi-fi network that the users's phone is connected to. In one report, a user stated that his bill showed:
[...] on November 21-24 it sent between 30 and 50 MB of data at 10:41pm each day and Dec 1-4 it sent between 30 and 50 MB of data at 9:41am each day. On December 23rd I turned on airplane mode so my phone could no longer send data. I turned airplane mode off briefly on December 23rd and the phone sent 400 MB of data.This user saw 2 - 5 MB used per hour. That would be about 1.4GB a month, with the phone just sitting on a table (assuming the 2MB figure).
This is probably a bug that will be fix with Microsoft's first big Windows Phone 7 update that should be coming very soon. Until then, WP7 users are seeing what happens sometimes to early adopters.