Its not really a problem for ATT. I think we will find that most of the unlocked phones are going overseas or to Canada. The US market is doing fine - the deal with ATT works here. There is little reason to unlock for the US market since neither Sprint or Verizon can host an unlocked phone.
The issue is that currently many markets are not served yet by Apple and that a locked phone in places like Europe is not a good solution. People in Europe can easily change sim card when traveling. Or they take a phone from one country and use it in their own. A locked phone is just not going to be flexible enough for them - so people there do not want to wait for it. They'd rather buy the US discount version and hack it. Its cheaper and in the end better for them.
I think it would be better if Apple allowed customers to unlock their phone for a fee. Let people buy it where they like and pay a $200 bounty to unlock the phone. Then Apple gets the revenue and the exclusive carriers get there exclusive right to offer the phone at the low price and customers can buy into the flexibility they want.
Is the iPhone Slowly Killing Apple or Giving it a New Life?