I had a Lumia 710 and I though this was a problem just with the Lumia, but I changed to an HTC Radar and I am noticing the same thing, sometime you wake the phone, the Wi-Fi icon sits trying to connect then just gives up.

Its not a major issue as I have a Femtocell plugged into my router so if the Wi-Fi doesn't kick in I still get HSPDA so all is good but it just a bit of an annoyance as the Femtocell only gives 2Mbps download I think where as on WiFi I get 8