As an aside, and as my own answer to the question: WinMo phones are all "unlocked" in that there's no restrictions on what software you run on them, which makes them great for corporations rolling out their own software and indies who want to run their own
software. I remember Smartphone 2002 initially required phones to have application-signing disabled by running some CAB, but I don't know if that continued through to WinMo 6.
I doubt they'd add restrictions like Apple has: one of the selling points of WinMo is its relative openness compared to the iPhone platform.
It might be a US thing. In USA, often phones are locked to a specific carrier, and require signing a contract of obligation with that carrier. An "unlocked" phone in this context is one without these restrictions.