The following link has an explanation. It is not as complete as it could be but indicates why this doesn't work through the cellular connection:
http://audible.custhelp.com/cgi-bin/...810548&p_olh=0
*** Quote from the link above ***
Verifying connection to BlackBerry Enterprise Server
Note: If your Blackberry Smartphone is connected to an Enterprise Server, you will be unable to download most of your content via AudibleAir. AudibleAir is designed to use the WAP browser on your blackberry. However, if you are connected to an Enterprise server, AudibleAir is blocked from using the WAP browser and redirected to the MDS browser. Consequently, the MDS browser has a maximum download limit of 1MB, which is smaller than all of the download segment sizes in AudibleAir.