Jony, I have the same problem in running BB Connect on my Nokia 9500 (UK Model) using Cingular as my service provider in NC. I don't think it has to do necessarily with roaming or with whether you lose the GPRS connection (you won't get BB emails when you lose the GPRS signal but the BB Connect program doesn't necessarily close in those cases; it should automatically restart when you come back into a GPRS signal area).
I have yet to find anyone who can help me solve this problem and I've talked with folks at Nokia (by the way, Nokia told me I should switch to the 9300 because it was especially designed to work with Cingular and no one is experiencing our problem with the 9300. HA!), and I've posted threads here at blackberryforums and also at my-symbian com. You might check out my thread at that latter website dealing with this issue. There is a lot more activity on that forum which would be of interest to you. I've gotten many replies attempting to help at my-symbian.com; I only got one reply ever on this forum at blackberryforums.com.
One other thing: until you can fix this problem (if it can be fixed at all), a patch is to install a program called "Rebooter" which allows you to fully reboot the device without having to take out the battery. You can get the program on the my-symbian site:
or go to the author's site (Romankeller.ch).
Be care to check the ReadMe file before installing as you must install 4 programs in a certain sequence to avoid an error, but once installed correctly, it works great and makes it very easy to Reboot anytime you lose the Blackberry service connection.