iphone will not work in south korea

I have an iphone 4 and iphone 4s. I cannot get my iPhone 4s to work in Korea. The carriers here tell me the 4s is a locked phone. But it is not. I purchased the phone new as an unlocked phone from an apple retailer in Malaysia when I was working there. When visiting Australia recently I went to an Apple store and the they confirmed that it is not a locked phone. But the Korean mobile phone companies still insist it is locked. Also I have travelled to other countries such as Indonesia and Guam and used pre paid SIM cards without problem. It is only in Korea I have this problem with the 4s. Interestingly when I put my Korean. SIM card in to my 4s and I am on roaming in another country such as the UK, Malaysia or Australia the phone works!!. Soon as I arrive back in Korea, with the Korean SIM in it, it stops working and states it cannot find a network ( no service). Also I have swapped my Korean SIM into my other work colleagues iPhone 4s iPhones and their phones work with my Korean Sim in them ( in Korea).

I have returned to the Korean telecoms companies and they still insist I have a locked phone.

Any advice welcome.

iPhone 4S, iOS 7.0.4