Additional info: New clean installation of Ubuntu 9.10 daily build of 4-Aug with same problem.

g@KKaug4:~$ uname -a
Linux KKaug4 2.6.31-5-generic #24-Ubuntu SMP Sat Aug 1 12:48:18 UTC 2009 i686 GNU/Linux

Below is the part of dmesg after removing network-manager (sudo apt-get purge network-manager).
Actions done: modem attached, CD drive ejected (sudo eject sr0), ttyUSB0-1-2 created, everything on system OK, after a while the modem removed.

[ 1189.776217] usb 1-2: new high speed USB device using ehci_hcd and address 6
[ 1189.921734] usb 1-2: configuration #1 chosen from 1 choice
[ 1189.926304] scsi4 : SCSI emulation for USB Mass Storage devices
[ 1189.926975] usb-storage: device found at 6
[ 1189.926986] usb-storage: waiting for device to settle before scanning
[ 1194.925828] usb-storage: device scan complete
[ 1194.927732] scsi 4:0:0:0: CD-ROM            ZTE      USB SCSI CD-ROM  2.31 PQ: 0 ANSI: 2
[ 1194.972152] sr0: scsi-1 drive
[ 1194.974213] sr 4:0:0:0: Attached scsi CD-ROM sr0
[ 1194.977280] sr 4:0:0:0: Attached scsi generic sg1 type 5
[ 1208.212993] ISO 9660 Extensions: Microsoft Joliet Level 1
[ 1208.216241] ISOFS: changing to secondary root
[ 1209.909770] usb 1-2: USB disconnect, address 6
[ 1214.776201] usb 1-2: new high speed USB device using ehci_hcd and address 7
[ 1214.911614] usb 1-2: configuration #1 chosen from 1 choice
[ 1214.914114] option 1-2:1.0: GSM modem (1-port) converter detected
[ 1214.914366] usb 1-2: GSM modem (1-port) converter now attached to ttyUSB0
[ 1214.914664] option 1-2:1.1: GSM modem (1-port) converter detected
[ 1214.914866] usb 1-2: GSM modem (1-port) converter now attached to ttyUSB1
[ 1214.915398] scsi5 : SCSI emulation for USB Mass Storage devices
[ 1214.916206] option 1-2:1.3: GSM modem (1-port) converter detected
[ 1214.916623] usb 1-2: GSM modem (1-port) converter now attached to ttyUSB2
[ 1214.916918] usb-storage: device found at 7
[ 1214.916932] usb-storage: waiting for device to settle before scanning
[ 1219.917140] usb-storage: device scan complete
[ 1219.918285] scsi 5:0:0:0: Direct-Access     ZTE      MMC Storage      2.31 PQ: 0 ANSI: 2
[ 1219.919159] scsi 5:0:0:1: CD-ROM            ZTE      USB SCSI CD-ROM  2.31 PQ: 0 ANSI: 2
[ 1219.922607] sd 5:0:0:0: Attached scsi generic sg1 type 0
[ 1219.950195] sd 5:0:0:0: [sdb] Attached SCSI removable disk
[ 1219.952653] sr0: scsi-1 drive
[ 1219.952970] sr 5:0:0:1: Attached scsi CD-ROM sr0
[ 1219.955016] sr 5:0:0:1: Attached scsi generic sg2 type 5
[ 1233.004231] ISO 9660 Extensions: Microsoft Joliet Level 1
[ 1233.005659] ISOFS: changing to secondary root
[ 1255.293852] usb 1-2: USB disconnect, address 7
[ 1255.293964] option: option_instat_callback: error -108
[ 1255.294425] option1 ttyUSB0: GSM modem (1-port) converter now disconnected from ttyUSB0
[ 1255.294504] option 1-2:1.0: device disconnected
[ 1255.294923] option1 ttyUSB1: GSM modem (1-port) converter now disconnected from ttyUSB1
[ 1255.294995] option 1-2:1.1: device disconnected
[ 1255.298981] option1 ttyUSB2: GSM modem (1-port) converter now disconnected from ttyUSB2
[ 1255.299085] option 1-2:1.3: device disconnected
[ 1255.349627] scsi 5:0:0:1: rejecting I/O to dead device

With network-manager removed the modem can be used with other methods (wvdial, gnome-ppp, etc) without any problem.

Regards,
George