And if you turn off the phone and use GPS, I assume there won't be any roaming charges since your phone is talking to the GPS satellite?
That's correct. Though it's not "talking" to the satellite - GPS is one-directional. It only receives signals from the GPS satellites and processes them.
As for the provider locking it - I doubt it. It's theoretically possible, I guess (the same way they could theoretically disable e.g. your camera unless you pay them a monthly fee, assuming the phone is running custom firmware supplied by the provider), but I really don't see why they would. The feature doesn't depend on anything network-specific, and you can use it entirely offline. (Disclaimer, however: I live in Europe and have only used unlocked phones, so I can't really speak for the situation in North America)