My iPhone 4 is on 3.10.01 modem firmware (which is not unlockable) yet my GoPhone SIM works just fine.
No unlock needed!
Do people just guess without actually knowing what they are talking about when they provide information to others? Is this the iclarified official forum?
I also think you may have cut your SIM incorrectly to fit the phone (but that should result in a no sim message) or that SIM is already bonded to another phone (was used to activate another phone for service.)