It is funny that you should mention this, tonight i set everything up at work as I had a few minutes, tethered my BB & PB and selected App World on my PB and got the very same results as you.
So I disconnected the tether and bridged the two together and still same answer, currently App World will only connect over WiFi.
Seems to be the way it works currently. Hopefully, the functionality will change soon.
I'm really hoping it does, because to me it doesn't make sense how they have it now. On our phones AppWorld won't work on Wifi, but that's the only way it works on our PB's, just seems a little mixed up to me.
I could be wrong, so don't quote me on this, but I thought I read somewhere on here that the bridge connection doesn't work in ANY app?? If you have a weather app on your pb, and your using bridge, the weather app won't work etc, only through wifi.
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Well I read your post a little more carefully and you said you are tethered, NOT bridged, I apologize. But maybe its similar?
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Tethered is having your phones data plan on your PB to access the internet (Not the bridged browser). Bridged lets you access the apps that require bridge. I don't know any benefit to bridging besides the bridged apps. Someone could add more detail to distinguish between the 2, that's just what I've figured.