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Apple is the reasoning, they are the ones not allowing AT&T to do it

Yea but why? Why would Apple care what carrier you use the device with? ESPECIALLY if the carrier themselves don't care? To me, this is extremely poor business practice and really bad for their customers.
 
I'm not sure that it would be worth it, but I think they sell factory unlocked iPhones in Italy, you could try to sell your AT&T iPhone in the US before you go, and buy a factory unlocked phone in Italy that you can then use on your AT&T account when you get back to the US.

Of course that would depend on if you could get close to the unsubsidised price by selling your iPhone in the US. It probably would be cheaper than roaming though.
 
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