This may seem like a dumb question, but have you tried asking AT&T to unlock it? You can check if it can be unlocked here.
[link|https://www.att.com/deviceunlock/unlockstep1|Unlock Your Phone or Device - AT&T Device Unlock|new_window=true]
I ran into this situation on a used iPhone 6S Plus. Same message, and when I went to that site I found that it had been financed but never paid off. If that happens, there's no way to unlock it outside of the original owner paying off their bill. It can still be used on AT&T, but they won't unlock the SIM card for any other network.
If it doesn't have an outstanding balance, you should be able to request it be unlocked.