A SIM Lock and a CID lock are
NOT the same thing!
A SIM lock determines what SIM cards you can use. That is unlocked out of the box and can be check in Security as you pointed out.
A CID lock determines what ROMs your device can flash. This
NEVER comes unlocked out of the box!
Read the ROM Flashing information as a starting point... You need to run the HardSPL to remove the CID lock...
http://forum.ppcgeeks.com/showthread.php?t=93252