Unlocked phone was locked

Only Apple sells sim free version of iPhone.  All other retail stores sell universal phones subject to US activation lock policy.  Where ever you bought yours it wasn’t unlocked. 

Did you request unlock with your At&t prepaid number?   

If yes, it should not have kicked back it was active on a customer account.  

You will have to contact At&t with proof of full price purchase to get it unlocked.  If you bought it off the prepaid rack, it was not a full price purchase and they will not unlock it.  

Where did you buy the phone and what exactly happens when you insert your home country sim card? 

You might want to invest in a "gsx report" on eBay where you give them the IMEI and you get the actual lock status.    It's like $3.     

You should ignore anything about att's unlock policy until you know for sure the phone is actually locked....   By trying the sim card from another provider.    

@Rscarol Perhaps you missed this from the OP’s post: 

I can't use it with my country sim card or any US-sim (T-Mobile and so on).
I checked it twice.

I think it is pretty clear the phone is locked. As pointed out, it locked to the first carrier it was activated on, which the OP admitted was ATT.

I called to AT&T support. This phone really locked.
But I bought this phone on eBay. I don't have real receipt. I can get it just from paypal... 

I asked seller to get receipt.
Seller don't want to get it back. But I opened dispute.
In description it was FACTORY UNLOCKED.
There is no alerts about activation and so on in description.
The phone should be really UNLOCKED.
I hope I can do something in Apple or return this phone using money back rules. I can't wait 6 month.

I have GSX report, that said - LOCKED to AT&T.

The seller lied when they said the phone was unlocked.  Until the commitment is fulfilled, AT&T won’t approve the unlock.  Apple can’t do anything about it.  I’d recommend getting your money back via eBay or PayPal.

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I purchased a certified factory refurb Galaxy 8 from Amazon last September and activated it on T-Mobile with no problem.  Unfortunately coverage was not adequate with T-Mobile, so I moved almost immediately to ATT prepaid.  Well, you guessed it!  ATT locked my phone.  The embedded Model Number contains U which clearly indicates that it's Factory Unlocked.  ATT claims some other number has caused them to lock the phone.  Hard to believe if it wasn't a problem when I signed on to ATT, 11 months later it's now a problem.  Also, I didn't think wireless phone companies sell factory unlocked phones.  The customer service representative said this was a technical problem and that my phone should be OK.  She initiated a Case Number and said it would be resolved in 4 days.  So, six days later, still no response from ATT.  I then placed a follow up call and the representative would not even take the time to look up the case that was supposedly initiated.  The second customer service representative "stone walled" me on the other phone number issue, would not forward my call to her supervisor as I had requested, and told me to go to the ATT Store with my problem.  So, I'll go to the store tomorrow and hopefully will be pleasantly surprised that they can fix this.  Is this a way to run a business?

AT&T stores cannot unlock phones.  Just.... Can't....

Dont bother. 

Just an FYI, the 'U' does not stand for unlocked, it stands for Universal. The phone was probably originally sold through Best Buy and could be activated on any carrier but would be locked to the first carrier's SIM card that was used in the phone.   The phone it should contain software for all major carriers including AT&T. Did the phone booth with T-Mobile's boot splash, and then when you switch to AT&T did it convert, and then boot with AT&T s boots splash?