I am ready for my trip to Europe. I have my old Nokia 6800 phone EGSM 900/1800 capable & unlocked.
I have my UM sim and my callbackworld account.

Kept this Nokia phone as a back-up & haven't used in a while. If I scroll to the connectivity screen - I have a choice of 3 -Infrared-GPRS-Synchronization. My phone is currently on Infrared. Do I need to change it to GPRS when I am in Europe?

You can leave it on infrared at all times unless you plan on using GPRS while you're here in Europe (expensive if you plan on using your US SIM card here). The Connectivity function will not affect your phone's ability to pick up a network here in Europe to make/receive calls and SMS.