Shouldn't make any difference if u had Jailbroken the iphone, as the unlock is triggered by the IMEI number on your handset. iTunes just connects to the Activations server to see if the IMEI number is activated, or in your case unlocked.
I carried out the O2 unlock, and my handset was Jailbroken. I received a text from O2 first. I then plugged into iTunes and got the unlocked message. I then removed the Jailbreak afterwards, as I didn't need it anymore so restored the OS.
I think that you need to wait for the confirmation text from O2. They do say allow up-to 14 days.