I've never heard of anything like this, but for what it's worth my use of a Canadian SIM card was associated with several iPhone 4S (unlocked) malfunctions on my return to the US. All of them were correctable, but they were surprising. I ran into six problems over a few days -- all new.
- The first time I turned on with my US AT&T SIM the phone couldn't find service. It found AT&T on a second power cycle.
- There was something odd about iMessage. Alas, I didn't pay much attention and don't recall how I fixed it.
- My data services were a bit odd. Emails seemed to send normally, but they weren't received. I had to power cycle the phone to fix taht.
- Siri failed 100% of the time, instead of the usual 40% failure rate. She woke up but didn't seem to receive my voice instruction. Turning Siri on and off fixed that.
- My voice mail didn't work. I had to reenter the pass code.
- Calls to my Google Voice number went directly to voice mail and didn't call my phone. I had to delete my mobile number from GV, then reenter and reverify the same number.
I don't know if all of these problems had the same cause, but they could all be related to problems reestablishing the relationship between my phone's IMEI and my AT&T number.
Thinking over my swap sequence, I began by swapping in a Rogers paygo SIM while in Canada. I turned on airplane mode until landing, then I turned it off and at that point my iPhone (IMEI?) was "roaming" in the US - interestingly, under T-mobile. For kicks I tried to text, which failed. I then turned the phone off, and put in an AT&T SIM.
The next time I return to the US from Canada I'll put the AT&T SIM in before I first enter AT&T coverage. I wonder if the transient T-Mobile roaming was the real problem. The Google Voice malfunction was particularly annoying.