I would think that Go! is smart like FreeRange (rss reader) and other BB apps with the connection - they understand BIS-B, WAP, Direct TCP and BES + MDS by using the RIM API. I can't confirm right now (Go! isn't out yet for 8320, but I had it on my 8100) but I would think they start at the "best" one, try it, if it doesn't work try the next one and so on down the list until you get some sort of internet connection.
That's my guess, at least.

So it's possible it works with APN *and* without APN set; it feels like the smart programming choice.