I have the same issue living in a strong 3G area. I have contacted HTC customer support and here's what we've said to each other so far:
Me: I cannot get 3G on my HTC Desire - I have never once seen the "3G" connection icon despite living and working in an area where other people on the same phone network (O2) get 3G all the time. This appears to be a handset-specific problem and a quick search on the internet reveals that many other people are experiencing the same problem. If I switch to WCDMA only I pick up "H", but this is no good if I move into an area where "H" isn't yet available and want to use "3G". On GSM/WCDMA auto, I can only get "G" or "E", never "3G". Do I have a faulty handset? My network provider seems to think so.
HTC: The WCDMA settings should give you 3G when H is not available. The issue you are having is most likely related to signal strength. If you don't get 3G when set to WCDMA only when you are in an area that has yet to receive HSXPA please get back to us so we can escalate this issue to see if it an issue with the software in our Desire devices or an isolated instance so it then can be rectified as soon as possible.
Me: Using WCDMA only, I can confirm that when I am in an area where I can't pick up HSXPA, the handset does not switch to 3G. Instead, I lose my connection altogether.
HTC: Thank you for the information, I will forward this on to the tech team and they will have a look at it And I will get back to you as soon as I have any further information.