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Sim free is not the same as Unlocked
The phones that CPW / P4U / Etc sell are indeed SIM Free, and lock to the 1st network that they attach to.
CPW should have informed you of this if you made it clear that you were intending to use it on different networks.
Only Apple sell totally unlocked devices.
Once VF process the request they pass it to Apple to unlock, the procedure is completed by attaching to iTunes with the non-VF sim, so I'd give that a try.
Vodafone have also recently said that unless they provided the phone, or it is from VF stock from a 3rd party, so that could be cause for delay.