Like a popup how? What kind of dialog is it? It's more likely to be an app that's bundled by your carrier than your carrier MitM'ing ads into your stuff which is kinda what it sounded like

Just a message popup, a window with dark background and some text ad on it.

I did not buy this phone from a carrier, just added the SIM card later.

Really surprised to learn this doesn't happen to others. Always assumed that the SIM card had some special privilege given by Android.