What does unlocked SIM card mean?
If you enter a wrong PIN three times your SIM card gets locked and you have to enter your PUK to reactivate it. If you use your SIM card in embedded environments and make a small mistake in the software you have your SIM locked in no time, that's probably why they explicitly mention it.
Can someone with experience using this shield give me some answers?
You probably first have to ask some questions
What does not work? Show us the code you used when it didn't work. Show us the output you get, etc.