There should be no difference. "Out of the box" and after a reset, the phone is a blank slate and won't work until it talks to Apple.
Part of that activation process involves getting a token back that instructs the phone how it should be locked, or not at all.
The unlock process that AT&T (and every other iPhone carrier) does is that they instruct Apple to update the record on their activation server to say your phone should be getting a "fully unlocked" response. Next time you tether the phone to iTunes it checks the activation token and unlocks the phone.
Part of that activation process involves getting a token back that instructs the phone how it should be locked, or not at all.
The unlock process that AT&T (and every other iPhone carrier) does is that they instruct Apple to update the record on their activation server to say your phone should be getting a "fully unlocked" response. Next time you tether the phone to iTunes it checks the activation token and unlocks the phone.