I've had this problem too. Those I've spoken to about it attribute it to either the GPS chip or the WiFi chip not powering down properly.

Won't that just result in a massive bill for roaming?

While I don't agree with Apple's practices in this case, the NDA notice on the email is just from one of the individuals working in App Store Review. It's also the same signature that comes out with a lot of stock apple mails (eg bug report responses) http://daringfireball.net/2008/09/app_store_rejections has a good summary of events.