I'm kind of curious about this too, my version of Pwnage didn't ask for the bootloader files either. Luckily I haven't applied the firmware to the phone yet. Just try restoring it with a standard Apple firmware in DFU mode.
Well... you can't downgrade if you can't get the option to restore. I'd say just restore the non-custom firmware to the one you had on your phone when you got it (e.g. if you were unlocking a 1.1.4 iPhone, load Apple's 1.1.4 firmware and not the custom load.)
Thank you so much for all your help... Everything went just fine!!!! Just one last question... Can I download the new applications from iTunes or do I have to download them directly from the iPhone's browser?