I have windows 8 running on an Asus G53SW laptop with both the wireless and LAN connections active at the same time.
I know the group policy entry you are referring to. It does not shut the other link off but rather stops an automatic connection attempt when a faster connection already exists. For example, if a Gigabit LAN adapter is connected to a network, and a Wireless N connection is attempting to connect to the same access point, the policy will prevent the Wireless from automatically connecting to the slower wifi network. It does not disable the adapter, or disconnect an active connection. It also does not prevent the user from initiating a connection manually.
Edit: The "Minimize the number of simultaneous connections to the Internet or a Windows domain" policy states:
"If this policy setting is enabled, when the computer has at least one active connection to the Internet, a new automatic connection attempt to the Internet is blocked. When the computer has at least one active connection to a Windows domain, a new automatic connection to the same Windows domain is also blocked. Additional manual connection attempts by users to the Internet or to a Windows domain are not blocked by this policy setting."
This policy is assumed Enabled when either set to Enabled, or Not Configured.