eSIM

So I just don't get why ATT locks the second SIM.  I am not looking to leave ATT, the primary eSIM will always be ATT, I just need the 2nd for data when traveling.  

Why do they do this?

There is no way to unlock just one SIM slot and not the other on a phone.  Either both SIM slots are locked to AT&T, or neither are locked.  BTW, it’s Apple who set up the phone this way, as well as who does the actual unlocking.  As for why, the reason is obvious.  If you have the second SIM slot unlocked, you can ditch AT&T and go to another carrier, because you now have a phone that works with whatever other carrier you want to use.  Not everyone is trustworthy enough to hold to “I’ll just use the other SIM slot occasionally for travel and not leave AT&T.  I promise.”

I hear what you are saying and a better implementation would have been to lock the eSIM slots separately.  Whats annoying is I travel a lot on business and always used ATT for voice when traveling but GigaSky for data.  I did that on my old iPhone with AT&T on day 1 of ownership, that phone had a physical SIM and eSIM.  Now with this new phone I can't.  

AT&T phones are either locked, or unlocked. Whether they are dual SIM or single sim it's all or nothing. AT&T does not temporarily unlock SIM slots.  They also do not unlock one SIM while leaving the other one locked to AT&T

Not sure what old phone you had early on that would allow one slot to be locked and the other unlocked,  but ever since the first dual SIM iPhones came out (2018 iPhone XS), both slots were either locked or both unlocked.  Nothing to do with whether it was 1 physical and 1 eSIM, or both only eSIM.

iPhone 12.  I don't know about 1 being locked and one not being locked, but on day 1 when I bought it I was able to add my GigaSky data eSIM, while it was still using the physical AT&T SIM.