I don't have this issue with any WiFi networks saved on my N9. It switches flawlessly between WiFi and mobile data.

The only issue I had a while ago was that I couldn't get it to connect to my D-Link dir-655. The default encryption setting was set to WPA-auto (which I think means it can automatically handle either WPA or WPA2 connections). The N9 could never connect to the router in this config so I set it to WPA2 only and haven't had an issue since.