Also at walk through I was told they didn't allow us to replace the AT&T SIM with our own SIM, which would be a problem if they decide to require a cost for the service in the future.
AT&T is much slower that T-Mobile in most places nationally, but I understand AT&T pretty much gives away the service so I can understand why TM uses them (for now).
Supporting evidence please
There are 2 basic issues here: available bandwidth and geographical signal coverage.
AT&T has better signal coverage within the United States, because they own a lot of sub-1 GHz licenses. Low frequency signals typically have better range and resistance to degradation from obstacles than high frequency signals.
T-Mobile LTE primarily runs on Band 4 (AWS), which is 1700 MHz up and 2100 MHz down. Bandwidth and latency are typically very good for this kind of midrange spectrum, but range is only mediocre. T-Mobile needs a lot more towers per unit area than AT&T to cover the same ground. The advantage is that T-Mobile has a ton more available bandwidth where they do have coverage (assuming adequate backhaul connecting the tower to the Internet). T-Mobile also has a number of Band 2 LTE deployments (1900 MHz) and an increasing number of Band 12 (700 MHz) areas. Band 12 is what is allowing better coverage, but the available bandwidth is not as high as Band 4.
AT&T was Tesla's only logical choice back in 2012, because they had the best coverage nationwide on a GSM 3G network (most of the world uses GSM). Verizon has arguably better coverage, but at the time still heavily reliant on CDMA derived 3G, which was only common in the U.S. and Japan. Sprint and T-Mobile did not have enough coverage back then to be realistic contenders.
With everyone moving to LTE, perhaps at some point Tesla will offer a choice of service providers, but for now, I think they will stay with AT&T to keep things simple.