Unlocking if carrier claims phone is unlocked

There is a difference between SIM-Lock and Carrier SIM-Lock

SIM-Lock with PIN-Code:

SIM lock is a local code on your SIM card that must be entered after a restart. Once the code is entered, the SIM card can connect to the network. If your iPhone says it's SIM locked and asks you to enter a code you don't know, contact your carrier and ask them to send it to you. If you have lost your old iPhone, I would imagine that you have also received a new SIM card from your Carrier. New SIM cards are usually locked with a standard code.

Carrier SIM-Lock or Carrier Locked:

Carrier SIM-Lock is when the phone can only be used with a SIM card from the provider the phone is locked to. In that case, you must contact the Carrier to which the iPhones are locked and request to have it unlocked. In your case, you can also contact your insurance and ask them to help you, if it was not the agreement that your replacement iPhone should be Carrier SIM-locked.

You can find more information about Carrier SIM-Lock here:

How to unlock your iPhone for use with a different carrier - Apple Support