Whenever it says "Carrier xx.x" on the phone it means you need to manually input the APN information into the device (as it's not stored the list of valid configurations), you would do this by getting the correct information from Bell and then input it in the 'General>Network' section. Most like you need 'APN', and then the MMS stuff so you can send MMS.
If your phone is locked then there is nothing you can really do, but if it was unlocked it would still have the same issue because Bell is not the "preferred" SP for the device and therefore not in the phone by default. Here in the States, if I used a T-Mobile SIM I would have the same issue where I need to input APN information before I can go online and send/receive MMS.
Finally when they say "the SIM will get burned," they don't mean it literally. Some phone sales folks do not realize most customers do not understand their technical slang. When a SIM is burned it means it is no longer usable. However they are wrong in this instance since the iPhone does not do anything to the SIM that would cause it to be unusable except in the following situation:
1) You attempt to change the SIM passcode (the passcode for the SIM, not the device), but you do not put the correct code in 5 times;
2) You will be asked a PUK/PUK2 code which reset the SIM lock;
3) Someone else attempts to change your SIM passcode or you forgot it;
4) 5 times failed, you need the PUK/PUK2 code again;
5) If this this process is repeated 3 times (including the first time), the SIM will basically block anyone from using it and in turn would be "burned."
There aren't any reasons to set a SIM lock with the iPhone. Back in the day contacts used to be stored in the SIM and people would lose their phones. Maybe they didn't want someone else to see their information, so they set a code on their phone. The perpetrator would simply put the SIM into another device and view the information on the SIM card. Thus the SIM passcode would prevent access.
So talking about SIM passcodes, there are 4 codes: SIM1 code, SIM2 code, PUK code, and PUK2 code; all of these you can get from your service provider after you have verified your account information.
Anyways if you get service with Bell and you put the SIM card in, if it finds signal you should be fine. If it tells you the SIM is invalid or something, then it's likely the iPhone is locked to Rogers and you would need to unlock the iPhone before you can use it.