Does installing CyanogenMod lock device's network? today after almost one year using the stock Android version on my Xperia Mini (ST15i, I was on Gingerbread) I decided to flash an official CyanogenMod ROM (CM7).

So I first unlocked the bootloader of the phone following the procedure detailed by Sony and then flashed the ROM following the default procedure explained in the CyanogenMod wiki page of the Xperia Mini.

Everything went alright but now when I turn my phone on after I input the SIM password I'm asked for a network lock, when I wasn't before.

I tried reverting back to the stock Gingerbread and things worked properly again. Trying a different version (CM9, also official) got me the same problem.

Am I doing something wrong? Or is there any step not documented in that wiki page I should know about?

Thanks for everything in advance.
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.