Wow. Definitely sounds bad. What was the seller's feedback like? Have you called the service provider and checked the IEMI? Have you contacted the seller?
I bought a phone from eBay that came with an active sim as well a couple of years ago. Turned out to be a mistake on the seller's part. The phone actually belonged to the seller. He had simply forgotten to take out the sim. Hope your dilemma is as simple as that. I'd take it out and reset the phone.