Just borrow a Verizon or T-Mobile nano SIM card from a friend to confirm if it's unlocked.
Surely u know someone anyone with a nano SIM card from one of those carriers.
I just replaced my wife water damaged iPhone 6S ATT (got it unlocked via att request site in sept 2015 even though it was "under 2 year contract as new phone"
So when rep gave me replacement. It has that same warning message about being "locked" once activated. I have both Verizon and att service. So I simply put my Verizon SIM card in and phone worked. Than put my wife att SIM card and replacement phone worked.
Bottom line: your replacement phone with that warning message is I unlocked.