My 4S is factory unlocked. Is jailbreaking going to change that? I've never jailbroken before
If factory unlocked, then the build won't matter. If you were locked, there is the chance that baseband 1.0.13 could be unlocked; that was the baseband in the 9A405 build. 9A406 has baseband 1.0.14, which may not be unlockable. But as you're factory unlocked, the baseband won't matter.
BL.