I'm having the same problem with close issues. I'm working with a sketch that acts as a telnet server to implement a CLI to control a roomba. The WiFi shield closes the TCP connection after about 20 seconds of inactivity, the ethernet shield does not.
The code at GitHub doesn't show a version number, so I guess I'll have to really dig to see if upgrading firmware (nowhere near as easy as advertised) will help. The documentation is pretty sparse in many respects.