Devaluing the device
Sure you can put a foreign SIM into the CDMA iPhone 4S, but then you lose your phone number when in GSM mode. That is annoying for most people and reduces the value of the phone as it's main point is to be able to be reached at any time. Keeping the carrier SIM card enables you to use the same number worldwide. For pure data sessions, using the local SIM will be vastly cheaper. You'll just be unreachable any time you put the foreign SIM in.
If you're thinking about international call forward to get your calls, note that not all operators allow this and the costs are often as high as roaming rates.