Basically (and this is wierd!) It has the O2 OS installed on it, despite the fact hat it has clearly come from Vodafone (has the Vodafone logo on it).
I have tried wiping the hanset using the JL_Cmder software, and then downloaded the lastest version of the OS (4.21.168) from Blackberry, using their partner sites. The download even has Vodafone_UK at the end of it.
I can go through the install fine, and re-install the OS, but it is still locked on O2, and has the O2 theme and branding.
the OS has nothing to do with being locked or not. go to options > theme and select a different theme. If the device is Vodafone, there is no way to lock a device to a carrier that it wasnt made for. If the device is locked at all, its locked to Vodafone.