Ive had tri-band handsets before (Nokia NGage) and this never had the problem.. Im not a phone buff, but i know that quad-band handset can operate on 4/5 continents (Eur, Asia, NA, SA) and im sure that Tri Band is for Eur and US possibly asia too.. im guessing that they have a less powerful rf reciever than the quad band handsets in the Pda Phone areas.
The number of bands a phone supports isn't related to how well it will pick up a signal.
Due to wireless licensing problems and airwave congestion, a variety of frequencies are used for mobile phone communication. Europe and Asia uses 900Mhz and 1800Mhz, whilst North America uses 850Mhz and 1900Mhz.
A tri-band phone bought in the UK will work on both European frequencies, plus one of the North American frequencies. A quad-band phone will work on all four of the frequencies used around the world. You won't see any difference in reception in this country between a tri-band and a quad-band phone.
And for the record, the N-Gage was a dual-band phone.
Microsoft phones generally have poor RF because they're mostly manufactured by companies with little wireless communication experience. They don't have the technical expertise of the likes of Nokia or Motorola and so their RF performance suffers as a result. Getting good RF performance out of a phone is a black art that few companies have mastered.