hmm that seems strange to me because in it's phone capacity (and it's ability to receive voicemails, email, etc.) it should work. And in fact, iphones are available in the UK, so if AT&T had an agreement with o2 it would be able to use the same network as the uk iphones and therefore function exactly the same.
edit: proof that I am smart and whoever you were talking to were morons
http://www.apple.com/iphone/questionsandanswers.html
if you scroll down it says 'can i use my iphone internationally' and it says it's quad band GSM and therefore will work around the world....