If you get a full-price AT&T iPhone 5 from Apple, you might be able to do a quick restore to unlock it today, but what about a few months down the line, or if you have to get it replaced at an Apple store? That's the iffy part with which I am not comfortable. They keep a database of phones which are allowed to be unlocked, and knowing my luck, as soon as I plop down the $850 + tax, I'll be the fortunate one that gets the first re-lock.
That stuff seems somewhat sketchy to me. How do I know that I can trust that any more than I can trust a full-price AT&T phone? Or, for that matter, one that AT&T graciously unlocks for me like they unlocked my iPhone 4. Maybe I'm just being paranoid, I don't know. It would just really suck if all of a sudden something happens that makes me end up with a locked phone after all of that trouble. If I have to replace the phone and I get a locked one in return, I don't want to have to pay $5-10 for another unlock, or hassle AT&T again.
It's our right to hassle the carriers as much as possible. I don't think they would intentionally re-lock a replacement. Just let them know your previous device was unlocked if you ever had to get one. I'm almost certain they keep records in their database.