That's by design: If I remember right, WiFi only keeps a persistent connection if your device is plugged in; otherwise it will connect when you wake it. If you're jailbroken you can use an app called Insomnia to keep the connection live, but (ironically, in this case) it will drain your battery faster.
(So basically, in your case you'd need to keep it plugged in or in a dock.)
Edit: Are you turning off Cellular Data in this screen?
If so, what I'm reading seems to indicate that with Cellular Data switched off you should be able to have a persistent WiFi connection--BUT that it would actually use MORE battery when set up that way.
So I'd say either keep it plugged in for WiFi or just leave leave your data on...unless you're in a really flaky connection area, I really don't think the data connection is going to affect your battery that much. Good luck!