That's weird, because post #15 in this thread had a different experience. I guess if this concerns someone, he should activate on AT&T as soon as he receives his iPad and then try to reactivate on another carrier to confirm the SIM is not locked. So far it looks like a 50/50 chance that it is or isn't.
(Some people think it's no big deal that an embedded SIM gets locked--"Go get a nano-SIM and stick it in"--but the point is that you shouldn't need another SIM with the Apple SIM. I guess those people can't really see situations other than their own. For instance when traveling abroad, if you're places where you don't speak/read the language, getting a SIM can be difficult. Or if in places where you're traveling between different countries every day, why spend such a huge amount of your limited time collecting SIMs? The international support for the Apple SIM is quite staggering.
http://www.apple.com/ipad/apple-sim/ )