Feel like I'm taking a big gamble with this!! I have been with O2 for many years and I'm happy with the service so won't be changing networks anytime soon.You might have a problem, it's not as if it's a fault you could return it for as they give the warning on their page.
If you intend staying on o2 for at least 6 months then it might be worth the risk, and getting it unlocked once o2 start doing it. At worst it will cost you £15 and should be free if you have a contract with them.
I need to open the box to see how the buttons feel as my problem with the 6s I received on Friday was with the sleep/wake button being faulty in it's action.