Rob, that footnote is about the iPhone 4, so it might not apply to the 4S or it's an oversight they weren't more specific.

The unlocked iPhone 4 is GSM-only. From what I gather they will also sell the CDMA-only iPhone through Verizon and Sprint, which is locked.

Everything in the keynote indicated the 4S would be "world" capable which implies fully functioning CDMA and GSM radios compatible with all CDMA and GSM carriers using the same frequencies. At least when sold in an unlocked state.

I don't think it's been made clear yet if the 4S is actually carrier locked at all, or if it's only carrier locked on the radio which your current carrier uses, or if it's carrier locked only within the country you bought it in, etc.