EE hasn't got a cellular modem module, so the SIM slot is useless. The official explanation of its existence is that the housing molds were made to be used not only with the EE that we have, but with an expected next model that would be 3G-enabled. Besides, enTourage promised that some not 3G-related usage for the SIM slot of the existing EE would be added in a future software update. But that never happened.
An AT&T SIM card that you found in your slot is there because some EE owners use that slot to store their spare SIM card. And the person that you bought your unit from forgot to take his card out.