Following the goal, Bellion found himself a first team regular at Sunderland, although was unable to save them from relegation with the second lowest (behind 2005-06) Premier League points tally ever. Towards the end of the season, Bellion attracted interest from Manchester United, and angered many fans by going AWOL to France at a time when the Black Cats needed him most. Upon returning, Bellion claimed he had been visiting his sick grandmother, and made himself temporarily unavailable for selection, claiming he was "mentally unfit" to be playing in a relegation battle. At the time, speculation was rife that Bellion had been "tapped up" by United, although Manchester United and Bellion's agent firmly denied this. Despite this, Bellion agreed a move to the "Red Devils" after his contract expired in June 2003, although the transfer was not without controversy. As Bellion was under the age of 23, Sunderland were eligible for compensation, although a fee of £2m, rising to £3m depending on appearances, was agreed out of court. The fee was agreed on the basis that Sunderland chairman Bob Murray signed a "confidentiality agreement" and did not launch a complaint against Manchester United over the alleged "tapping up" of Bellion, after former Arsenal vice-chairman David Dein claimed Bellion had been offered to Arsenal by his agent illegally, and that Manchester United had been paying for Bellion's mobile phone bills whilst still at Sunderland.
Despite a smattering of early-season goals, the 2004-05 campaign proved equally frustrating for Bellion as he found himself increasingly frozen out of the first team picture.
A fruitful spell in the Reserves followed, but Bellion's season was curtailed in early May when he suffered a fractured fibula against Charlton Reserves. Bellion spent time on loan at West Ham at the beginning of the 2005-06 season, returning to Sunderland for the first time as an unused substitute for the Hammers in October 2005, where he was booed whilst warming up. He scored on his debut, a League Cup win over Sheffield Wednesday on 20 September 2005, and went on to make ten appearances for the club, mostly as substitute.