Do I have to factory unlock my iPhone 5 in the same country as it's been bought?

I bought this phone in Sweden, now I'm in the UK and unlocked the phone via a swedish website that has the network carrier it was originally locked to, but for somehow it won't unlock. This is a legit website so I don't know if it's because I'm in the Uk that it's not working or is it because the website hasn't done it properly?

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