That is an issue of the person setup the firewall don't know how to do it properly(or don't bother) :-)
Roger's rule is quite lax, there is a few things that they can do which would render VPN/SSH not usable.
It would still works unless the disable SSL which would make UMB useless but they can make it results in very lousy throughput and unacceptable lantency. And can eat up even more of your battery than what it is now.
And even if they disable SSL(i.e. CONNECT), there are still ip-over-XXX that would work but that means even worse speed, talking about the 2400/9600 era and may only good ssh console type usage.
By that time, who care about the 10 bucks unlimited UMB at 9600bps ? Things have to be looked at within certain context, I have never come arcoss a network(be it paid hotspot, corporate network or mobile so long the assign me an IP) that I cannot get through but for the most restrictive ones(still can browse at fullspeed but no SSL), it is only good for ssh console.