Ah you should be fine then. No worries.
I went through a bad experience last year with a Craigslist iPhone 3GS, and got burned. It was jailbroken, the seller placed a call before I bought it, and we did the deal. It was for my daughter, we're on AT&T so I didn't care about the jailbreak, and didn't want it.
I set it up as a new phone, called AT&T and got her on the right plan, put in her SIM, and got the "SIM not supported" error. Called Apple, they said it was covered by Applecare, so I sent it in, and they sent back a new one. Same error. So I sent that one back, got yet another new one. Same error. At that point, we were all stumped.
Turned out after some phone calls and escalation that the seller sold me a Canada Bell iPhone! I live in Iowa. There was no way to tell by inspecting the phone that it was carrier-locked to a canadian phone company - but it was, and could not be activated with AT&T. Apple would only send back Canada Bell replacements, so I was screwed.
I ented up selling the iPhone to a Canadian. I took the money, and bought her a proper AT&T unit. It all ended well, but it was a lesson learned.
I don't think that's the case for you - if your phone didn't see a SIM at all, it's probably just bad hardware and a replacement should take care of it.
Apple never gave me any grief about the original iPhone ever being jailbroken by the way.