I agree that it doesn't make much sense. I confirmed with the Fairview store earlier today that they have one supply of phones, and they are locked to a particular carrier when a customer chooses that carrier. I'm not sure if the locking process is the regular activation process or if the stores have a different procedure to lock the phone to the proper carrier.
I know you can't believe everything you read, but this is where I came across it:
http://discussions.apple.com/message.jspa?messageID=11811981#11811981
"Called Apple support and after much discussion got to speak to a supervisor. It seems the Apple Online Store phones are unlocked and can be used on any carrier worldwide and can be switched at a later date to any carrier. The Apple Store sold phones come unlocked and then LOCK THEMSELVES to the first carrier you activate the phone with"