If your phone came with an AT&T sim card, it is NOT unlocked. Rather, it is carrier locked to AT&T and cannot be officially unlocked to use on any other carrier's network. What you actually purchased is a "contract free" but still carrier locked iPhone.
Return it for a refund, if still within the 30 day return window.
Sorry, that message will not appear. Only AT&T could authorize the official unlocking of your phone, but they won't. AT&T will not unlock an iPhone for anyone for any reason.
Return the phone for a refund...that's your best option.