Clancy, an AppleInsider reader who brought the matter to our attention, believes the undocumented feature arrived as part of the most recent iPhone Software 2.1 update. He notes that the capability is only present in Web applications specifically authored to include the full-screen code.
Once the application is loaded in full-screen, it behaves just like a native app. You can test this out using a demo app Clancy created here
Developers might want to consider this when authoring web applications for the iPhone.