The setting of iPhones to connect to an Orange phone would be from sales point when Orange start releasing, but they would likely restrict to Orange only sim cards.
As with all mobile phones if bought on a more restrictive network (like Orange) then the phones would need to be unlocked.
This may void any warranty you have.
If you have an exisiting O2 phone, this may be locked to O2 network only. I'd try borrowing a friend or colleagues sim card to test it.
If it is locked you could research being able to unlock this.
HTH
Sparky