I think that's a new policy change or something. I bought an AT&T tablet a few months ago and they required a plan. But I just called a local store here and they said I could buy any phone at full price and they wouldn't require a plan.
And back to the unlocking issue, that's something AT&T has been rather vague with when I've called them. It seems if it was bought from them directly and is active with their service, unlocking shouldn't be an issue. Inactive? Who knows. And when asked about phones purchased from other retailers, such as Microsoft, they aren't sure at all. And from a recent search I did on the topic, it sounds like it could be an issue with those phones not being in their database. So activating it with AT&T first could be a possible "work-around."
Either way, nothing is definitive with this stuff. Personally, I'm going to try to get it unlocked via phone and website out of the box. If no go, I'll probably sign up for GoPhone for a month, and see if that does it. Per a recent AT&T chat, they claim GoPhone plans are unlockable just as if it were on a normal contract plan. And worse case, StraightTalk says they allow locked or unlocked AT&T phones. Which would provide much better coverage than the limited T-Mobile LTE and H+ 1900 re-farmed areas. So there's that.