The sales associate is quoting the official line. They said that last year, too, and I used the 4S with a Vodafone SIM in Greece with no issues. However, as long as they sold it to you using the "Device Only" screen on their iPhone, and didn't ask for your wireless number, then it is unlocked. If you plug it into iTunes to set it up like I did, you'll get the "congratulations" message.
If it did wind up locked, per
AT&T's own policies they will unlock it for you upon receipt of proof that you paid full price.
On a side note, Grand Central is quickly turning into my favorite Apple store. Even though Grand Central Terminal itself is full of tourists and commuters, and the store is busy, they never seem to have the issue with crowds that 5th Avenue or even the UWS have. I think it's because the police won't let a big crowd gather there. It's even better than the suburban stores because has the capacity of a big city flagship store.
If I had known it would be this easy, I wouldn't have pre-ordered. Now I have to go through the hassle of calling 1-800-MY-APPLE and returning the pre-order to reset my AT&T account (and probably move SIM cards, etc.). Either way, I got what I wanted.