Was my AT&T-approved iPhone 4 unlock successful?
No, you do not have to enter any sort of unlock code for any iPhone unlock event.

iTunes contacts the registration database when a phone is restored to determine the lock status and set the appropriate carrier settings file if needed.

So, in your case one of two things has happened.


The database that Apple / iTunes consult hasn't been updated for your IMEI.
You missed the unlock message and your phone is actually ready to be unlocked.


The unlock happens when you restore your device - either as an over the air (OTA) activation or tethered to iTunes.



The carrier should be able to query the live database to see if your IMEI is unlocked or you could try getting another cheap SIM (or borrowing a friend's SIM) and just testing the phone yourself. If you restore the phone twice after it gets unlocks, you will not see this message - but you should get it when it's first unlocked.