Hi there, I remembered seeing a very good answer to this question in an old thread a while back, so I found it with a quick search. There are different ways the terms "locked" and "unlocked" can be used when applied to a phone, but I'll let Tony E! explain it for ya.
Why unlock your phone for?
As far as the phone not having all the features if you purchase it unlocked, that can often be remedied by configuring the
WAP settings, as long as you get a model supported by your carrier (in other words they sell the same model). Many people have been able to get their unsupported phones to accept the settings for similar models, for example I think I heard once that someone tried the Slvr settings on a Rokr or something like that...
Here, I found another good thread on the subject when I searched for a link to the configurator...
Unlocking/T-mobile phones on Cingular
If you haven't tried our forum searches yet, that's the best way to find general info. You can even narrow it down to posts by a specific user, and I use this to my advantage by adding a forum mod's name (or some of our very knowledgeable regular members) to a search of the forum they moderate (or just hang out in a lot) because if someone's asked it before, they have likely answered it. Hope all this helps... welcome to the forums!
edit: If it came down to it and I had to take a shot in the dark, I'd try the w600i settings on the w810i, they would probably work but that's just a guess and not a guarantee!