1) They probabyl use more power (just a guess on my part)
...but more importantly:
2) WHY would you need that? From what I can tell, a lot of web-rendering is being held up by the procressor, not the network speed. Getting a faster connection wouldn't make pages load any faster if that's the case. Also, you're not e-mailing really large files from the phone. A photo at a time doesn't add up to much and there's no easy file-management system to be downloading and attaching other large files from.
Basically, you'd probably only notice the difference in speed once or twice a year, during some very specific and rare task.