I don't know what it means but mine said the same thing when I did it. Every thing is perfect on my Thunderbolt . I've got to say I'm finally happy with my TBolt . So I wouldn't worry to much. Somebody on here will know these guys are great .
Are you rooted? It could me you need S-OFF for the radio to work. If you are rooted, then what root method did you use?
From what I have read, it means the Bootloader is locked with s-on. Everything will function fine as a stock unrooted phone. The change in that appearance also means that HTC has added unlocking support for their online unlocking into the bootloader that is included in this build. The online unlocking has not been enabled for the TB yet by HTC.