Generally, the are network locked. Just take/send it back and get the correct one.. Alternatively, hunt around on eBay and get an unlocked unit and use any sim you like..
Just to note that BT Broadband Mobile use Vodafone as the network carrier.
(Tesco mobile use O2 as a carrier, Virgin Mobile use t-Mobile as a carrier)
So it might work without being unlocked, can you borrow a Vodafone voice sim to try out first?
The 2 sims are not even the same size. Original BT one bigger than the Voda one i bought. Dont think they will refund PAYG credit so not a massive loss but im sure i can find someone who will be grateful to use it.