No, only Carphone Warehouse "SIM Free" iPhones lock to the 1st SIM you insert (god knows why).
I always assumed it was because they're "upgrade" sim-free devices, locking to whichever network your upgrade was for.
I saw someone else post a good point - it's so they don't have to have stock of O2, EE, etc seperately. They can just have generic stock of the iPhone and sell as whichever network as demand requires.