That's weird. Apparently the latest iPhone 2.2 firmware locks legally unlocked iPhones, which are currently available in Hong Kong and some European countries.
This issue was stated after a user from Germany bought an unlocked iPhone 3G in Hong Kong and updated it to version 2.2 back home. The handset has locked! And he is not alone who has such problem.
Apple should really look into this one to clarify the situation...