Can't speak to iPhone as I don't know enough about the technical details of the network stack, but for BlackBerry HTTP requests from the browser are treated differently from app-initiated requests in general. BlackBerry as a solution consists not just of a device-side TCP/HTTP stack, but the BlackBerry service, which includes (depending on if you're enterprise or not) a BlackBerry Enterprise Server with Mobile Data Services (BES/MDS) hosted on your enterprise network, or a Research In Motion hosted BlackBerry Internet Services (BIS) server, which proxy all connections from the mobile browser. These servers can do a lot of things, including handling some aspects of cookies, authentication, and content transcoding to make content more consumable by the mobile device (images and the like). For a BES/MDS they can even act as the secure endpoint in an HTTPS connection.
Anyway, this also means that a lot of the functionality you'd expect from a normal TCP/HTTP connection actually happens off the device, and so can be controlled by a carrier or enterprise or RIM. Bare-bones sockets are different because the various servers in the middle can't make as many assumptions about a TCP socket as they can about an HTTP connection, so they can't mess around with your HTTP requests. A lot of BlackBerry apps actually end up writing their own HTTP client on top of the socket layer for that very reason, so if you have to do something like an HTTP long poll (Comet?) definitely write it on top of the socket connection, not the built-in HTTP connection.