I don't normally post on this site but figured with so many people having issues I'd post a relatively easy fix that lets you get back the power management options - install the HyperV feature which then gives you access to change the level of the wifi on battery/powered. I too just recently purchased a Surface Pro 3 and was considering returning it as well but I'm better now.
I noticed having issues watching twitch streams on anything higher than medium and set out to figure out why. Came up to this and then this blog post http://photosofarkansas.com/2014/07/09/070813-power-management-and-wifi-issues-on-surface-pro-3-a-way-to-get-a-more-consistent-wifi-connection/
I kept my tablet on balanced and changed the wifi performance to medium power saving which stopped the hangups on twitch streams for me. Obviously you can set it however you like but installing Hyper-V will expose all the power saving options to allow modification.
I already try this and didnt work for me. If the computer goes to sleep i still loss wifi connection. Also this disable connected stand by...I think connected stand by works better than enabling HyperV
My reply was mostly in slow download speeds. To fix the wifi disconnect issue go into power options from control panel after enabling Hyper-V, click Choose what the power button does on the left side, at the top click Change settings that are currently unavailable and then uncheck Turn on fast startup (recommended).
This should fix the limited/no wifi on startup issues.