O2 processed that unlock really quickly. What is happening is that Itunes is trying to do the same thing that you have already done with BenM for the carrier settings. I don't know if Itunes have the correct T-Mobile settings but what I suggest is that you delete the settings from BenM and see if the itunes update will work. You can always install the BenM settings again. To delete the BenM update on the Iphone go to Settings then General then scroll down to profiles and you will see the T-Mobile settings you installed from BenM. If you highlight it it gives you an option to remove it. Then plug the phone into Itunes and see if it successfully updates the carrier settings and stop the error message
You are correct these carrier settings are to allow data access through T-Mobile.
Does anyone know if i were to update to iOS4 whether i'll lose my unlock? I know i have gone the official route but just thought in case i screw up all our hard work?