When I put a an o2 UK sim card in I can quite happily roam (all be it on the VOD network of course) and enter whatever APN I want together with whatever Username and Password I want. i.e. the 'Cellular Data Network' option becomes available when a non-NZ vod SIM card is inserted. I'd therefore say the phone comes completely unlocked for both voice and data straight out of the box.
As an aside, I also cancelled out of the activation process (because I realised I still had a UK address registerd in itunes) and so never activated the phone - and it works quite happily. And I didn't/don't get offered the activation process again.
(Edit: FWIW I bought the phone outright and brought it home sealed and unactivated).