It's possible that even though the 3G network is shown in the menu that it's too weak there and the phone automatically switches back to the 2G network.
You can force the 3G network using free software called MyPhoneExplorer.
In the Other section on the left side of the screen, select Profiles.
At the bottom of the Profiles screen there is a choice for Network Mode:
Select UMTS Only and your phone will be locked so that it will only work on the 3G network. Disconnect the phone from your computer and re-test it. If you don't get many bars, you'll know that the 3G signal is just too weak.
Obviously change the phone back to GSM/UMTS when done with the test.