When you first plugged in, and activated it with iTunes, it should have said "Congratulations, your iPhone has been unlocked."
(something like
this- that one was screen-grabbed from an earlier iTunes version and iPhone but my iPhone 4 activation displayed a similar message after inserting an O2 microSIM that I had previously "swapped" my, now 30-day SIMplicity tariff, SIM to.)
This is a thing that Apple control, although if it's initially a handset locked to the carrier then the approval for unlock comes from the carrier.
Basically, if you paid the full £499 or £599 then it should be an unlocked iPhone. If you didn't pay that then expect it to be "network-locked."
Others have asked about whether they can swap in another SIM and re-activate. Last time I tested this, with an officially unlocked iPhone 3G, you didn't need to go through the activation with iTunes again if you were simply swapping the SIM for another.