Will SIM-free iPhone from Apple lock to first carrier activated?
According to Apple a SIM-free iPhone purchased directly via Apple should be unlocked. So, it is pretty unlikely that you get locked afterwards.

Furthermore you should be able to use every SIM worldwide*.

*considering there are no restrictions in the chosen country like e.g. in Turkey.

Edit: This answer is based on the situation in the U.S. only. Other countries/markets may vary.