It shouldn't but if you are Chevron unlocked and requested a cancellation or token refund it might. If you are apphub unlocked it shouldn't. If you unlocked using the original Chevron method from before Mango it might.
I have seen threads where people have their phone relock when connecting to Zune. Make a backup first and then you can always roll back.
HTC 1st Gen CDMA 7 Trophy (aka Spark_W) with Heathcliff74 Interop-Unlocked 8773.98 v1 Drivers - retired
Nokia Lumia 822 Dev Unlocked GDR2/Amber Updates