You say that you currently have an "old SIM" in the iPad which would be the one triggering those prompts to set up a data plan. As it has not been activated yet there's probably no option to turn mobile data off as you have experienced so far. This might be similar to the status of a 3G/4G iPad which has been restored with no SIM installed. There it says "No SIM", but it remains grayed out and you can't access mobile data settings including the option to turn mobile data usage off completely.
Regarding a SIM-lock to a certain service provider like AT&T I have never heard of one that's on the SIM itself. The locking to the provider is done in the firmware (provider-specific "branded" custom iOS in Apple's iDevices) so that only SIMs of this particular provider are accepted. This is common with phones or tablets one can buy from a mobile provider at a discount in return for signing up for a long-term contract. But a rogue SIM hijacking a device for its service provider seems pretty far-fetched and also makes no sense from the provider's point of view. All they are interested in is that the customer uses their services not a particular device.
So I would say you are pretty safe using your AT&T SIM in your iPad to get access to the mobile data settings and turning mobile data off entirely. After that you can remove the SIM without reinstalling any other as mentioned before. iOS will remember the OFF setting. The status bar line on the leftmost side that usually displays the mobile service provider's name will change to "iPad". No more reminders for setting up data plans only a message "No SIM installed" after rebooting the device or going from Flight Mode back to normal. On my iPad 3 it occasionally but very rarely also happens when accessing other applications that require internet access (less than once a week; so no real nuisance).
If you ever want to use mobile data again just insert the SIM and iOS will prompt you with the unlock code entry field and subsequently activate mobile data usage.