“Just like with any Web page on the iPhone, you can save a bookmark on your Home screen, and it creates a little icon which launches mobile Safari to that page. When you save the Wave bookmark to your Home screen, however, something different happens. You go to Wave, but without the Safari wrapper which allows you to navigate to another page or search the Web. Instead, it looks more like a regular app and there is no way to navigate away from it. Everything else works the same as in the mobile browser version.”
(Via The iPhone Blog.)