It's not actually strictly true that the iPhone doesn't support dynamic linking. What is true is that applications installed by the App Store are unable to dynamically link.
The app store / ituned installs programs into the /private/var/mobile/... directory. Any program opened that lives in that subdirectory is chrooted and has certain rights stripped away when opened. The chrooted processes can't fork, they can't run in the background, they can't load dynamic libraries and they can't save files outside of their little protected areas of the disk (with the exception of photos to the photo directory).
That said, the iPhone runs a modern operating system that supports dynamic linking just fine. The act of 'jailbreaking' is actually installing a program outside the chroot jail that can then do things like fork and save files to other places on the disk and load dynamic code.
Apple (and the open iPhone community) has plenty of programs running on the phone (such as the MobilePhone, Mobile Safari and SpringBoard applications) that can run in the background and load libraries. They are placed in a different place on the disk (/private/var/stash/Applications often).
So... if you want to sell your app in the app store, you can't load a dynamic library. Which for most people means you can't load it at all. But if you want to distribute your app through cydia (a common jailbroken phone app installer), then you can get away with jailbreaking the phone and loading your dynaamic library. In fact, due to the itunes install process being the culprit, as you've learned, you cant even load a dylib from your own app that you write to you own phone... unless you jailbreak.