ATT does not have to release the SIM unlock code for 10 months after the phone's release.
But as already mentioned, this has nothing to do with the ability to install 3rd party apps. All SIM unlock does, is allow you to use the phone on another cell carrier (as long as that carrier's network is GSM, and is compatible with the GSM/UMTS bands on the phone).
If you want to install 3rd party APK's from your desktop computer, you can use a program called Sideload Wonder Machine (just Google it). Does not require root.
If you want to download straight to your phone (such as Amazon App Store, Gameloft), as also already mentioned, I think you need to root to do that. Then after you root there might be a mod to do so; or flashing a custom ROM or the stock HTC Desire HD ROM will absolutely fix the issue.