Unlocked or Locked

Hi,
i have purchased a 32g wifi +3g ipad from the apple store and i ask the online assistant about micro sims. They said that all the ipads come unlocked but i could choose a free sim...however they said that if i activated the o2 sim the device would become locked to them.Is this the same with all networks and why cant i use any carrier any time if the device is supposed to be unlocked? Surely i dont then have to pay o2 to unlock it so i could switch to vodafone if they brought out a better plan?After all most of the deals are monthly anyway.

Any advice greatly appreciated..regards Mark