According to Google, applications installed on SD cards will be interrupted if you connect via USB to a computer to transfer files or remove the SD card. Therefore applications installed as services (such as 3GW) should not be installed on an SD card.
We tried to work around this limitation, but it failed, due to Android bugs (in particular widgets don’t work properly), so we gave up for now. If you want to save space, you should rather move apps like games to SD.
This is why the application doesn’t offer the choice to be installed on the SD card in the first place. Don’t try to bypass this limitation by forcing 3GW to install on SD via applications such as app2SD, because it won’t work properly.