There used to be a statement about warranty not covering any device with "modified software" or some such language. But I actually can't find it now, and they only make mention of devices with physical or water damage being "ineligible" so it seems like they have changed the terms.
In any case, in actual practice, AT&T doesn't give a poo whether the device is bootloader unlocked, S-off, rooted, etc. for the purposes of warranty service for a hardware issue. There have been many reports on XDA of folks returning various devices with root, unlocked bootloaders, S-off, even custom ROMs installed. I haven't seen any reports of anyone getting warranty service denied by AT&T due to mods. Of course it makes sense to return the phone to as close to stock as much as possible before returning "just in case". But the fact of the matter, if you are an AT&T account holder, those nice monthly service bills are worth more to them than the modest cost of a refurbed phone. This seems to be in direct contradiction to AT&T's present stance on locking bootloaders and apparently discouraging modding and rooting. But maybe it just makes more financial and logistical sense for them to enforce prevention on the front end, rather than on the warranty side.
Returning to HTC is a vastly different matter, as they can and often have denied warranty on modded phones. So anyone who has the AT&T version and is an active AT&T customer should go through AT&T for warranty service when needed.