If its unbranded, then updates will not go through the carrier.
If its carrier-branded, then it'll go through the respective carrier.
If it is an unlocked AT&T model, it will look to AT&T regardless of SIM lock status.
I suppose you can flash a different Country Variant, but it might mess with the bands. (like it messed with my 920's LTE bands) I don't know how to do it exactly since it's been a while, but people can help you. YMMV.
My 920 is the opposite if anything, its locked to AT&T yet the ROM is that of the unbranded French model.
The phone's region setting has zero effect on updates.