Firstly; I own the device and know the security code, so that's not the problem if you are pondering on the legibility of this message.

I got the device on saturday, but my sim was not yet delivered. My wife had already a working micro-sim so I managed to eagerily borrow that to testdrive the phone. I set some of the settings etc. I finally removed the borrowed sim and started using wlan at home. I set up MfE and then it asked for a security code. I entered it fine and every thing was ok. Then I updatet to the latest PR 1.2 software and afrter that the phone started to ask the code on each screen unlock. I just thought that it must be because there is no sim in the phone. Today I got my own sim and it still keeps asking the code. I managed to change it but it's still there on each screen unlock. Am I doomed now? I already know that the code is encrypted in memory that does not get affected on reflash so I don't think that it would help at all...

Just deactivate the password in settings/security .

I can't find such an option?
Only possible options in settings->security->device lock are: (Roughly translated from Finnish UI)

autolock : off
securitycode: (Can only be changed from here)
number of tries:10
trusted person: ****

Could it be that I set the original pass code with the other sim and I can only see the unlock option with that sim. I have to try that.

Enable from MtF settings "Non-provisionable device". It's in Accounts -> Mail For Exchange -> Connection Settings. This is the setting that can cause asking of the security code upon unlocking.

Thanks! That did the job!