SMS over GPRS should not be available. If it is, use it, unless you have unlimited text/SMS messaging. I just checked my own and it failed. As mentioned before, SMS over GPRS will only work if you have a data connection (which would be rare these days NOT to have a data connection in most places). The GPRS Preferred means that it will try the GPRS data network first, and if it fails, then it will send it over GSM.
T-Mobile, about 1.5 years ago, disabled SMS over GPRS due to billing - not technical - issues. They were unable to bill users for text messages and instant messages sent over the GPRS network, thus potentially opening up a huge hole into their text message money pockets. There was absolutely not technical reason, to my knowledge (and through reliable sources), for their turning this service/feature down for those users.
In the beginning the Universe was created. This has made a lot of people very angry and is widely regarded as a bad move.