For the most part, beginning with the iPhone 5, you don't get the message anymore and you don't even have to restore in iTunes like you used to have to do.
I have a 6+ and 5S that have been unlocked by T-Mobile. To use an AT&T SIM, all I had to do was insert it. When prompted, just enter my iCloud email and password and the phone was unlocked to use the AT&T SIM. This was the exact procedure on both my 5S and 6+.
I did have to wait about 6 hrs after I got the email from T-Mobile telling me each phone was unlocked. It said to wait 24hrs but it only took about 6.