Your Xperia has two operation modes. One is 3G, second is 2G.
In 3G mode you can have high speed data transmition modes H+, H and 3G (slowest, 384 kbps). In GSM (2G) mode you can have either EDGE (which is up to 224 kbps afair) and very slow, very first GPRS mode (up to 96 kbps, depending of network conditions).
These days using GPRS mode is barerly unusable, it is too slow to do anything but due to lack of coverage or free network spots (too high load on BTS stations) phone may fall back to this mode from time to time.
Second thing is priority. Voice is always highest priority for the network so if there is not enough space in GSM (long distance, low speed) first your connection will be dropped to GPRS, then dropped altogether to leave space for voice connections. Also during a voice call in GSM mode data connection will be dropped and restored after the call.
3G mode is superior to GSM, it's much newer standard (called UMTS initially) but many operators have lot's of issues in dynamic switching between 2G and 3G coverage. Most notable symtoms of that behaviour is connection lost during call or inability to receive call (user not available or out of network) despite the phone is connected.
I personally had few issues with 2G/3G switching in two different operators here. First time was faulty SIM card, latter was general problem of network operator in few BTS stations (connections were almost always dropped in some areas). Of course it refused any responsibility for that but after few months situation has changed so it had to be network problem.
When you are on 3G network you can have H or H+ symbol but generally it is the same technology, only more channels are used. So H+ is only activated when real transmission occurs, when in standby it switches back to H to reduce battery use.
R means roaming so either your operator changed agreements of roaming within your country or has some misconfiguration in it's network and it also may cause troubles with connection.
