hey,
I have the exact same problem here in the US. I bought my unlocked iPhone in Germany. My phone has never been locked to any carrier either. I have spent several hours with Apple support and in Apple stores. Let me keep it short:
In Europe, some iPhones are EMEA locked by default from factory. Apple blocks your phones, but cannot unblock it. Apple Support has been LESS than helpful. No one seems to care about this problem and no one at Apple knows this is actually happening. Apparently that is what you buy into when buying an iPhone...
Let me know if you figured something out