Does installing CyanogenMod lock device's network?
No you are not doing anything wrong. Also it is not cyanogen's mod fault. The problem is, I think that you bought your phone on a contract witch usually have a network lock aka you can only use it on the network from where you got your contract from.
The problem is that when you change your ROM, you are installing something different then what your operator's rom had on it and the phone doesn't know that rom and he think you want to use it in different networks so he will only give access if you unlock it.

May by you can find some tutorials to unlock your phone or you can go to your contract provider(if the contract expired) to give you the network key to unlock the phone.