I doubt that O2 will be too badly burnt by the end of exclusivity. The difference between iPhone and no iPhone is substantially more than iPhone vs iPhone with slightly better coverage. There is very high inertia in the UK market and there probably won't be much impact on O2, other than the fact that they'll have to start sharing new converts to the iPhone with Orange, and soon Vodafone. That said high ARPU subscribers generally have a higher churn rate than average, so iPhone users will probably be less inert than the average. Nevertheless I think the risk to O2's existing iPhone base is modest.
I've been looking at the issues of retention and churn in some detail in a report that is soon to be published called Mobile customer retention and churn management.