It's possible the dongle is defaulting to something if the APN is left empty. Try filing in a gibberish value to see if it disables data services.
Nope, I've run it with three different SIMs from three different networks, all with the APN details blank.
Until recently I've slavishly entered APN details and my old WinMo phone definitely didn't work without them correct. But my brother mentioned to me the other week that he never bothers to enter APN details and so when I setup my dongle I didn't bother.
Maybe it is something unique to the three UK networks I've tried it on.