I've just arrived in Italy and don't have any data connectivity. I have the R symbol in the signal strength icon, international call barring is off, data roaming is on and I get no reply to the 'ALL' text to 789922 (I have set this twice). I have rebooted the phone several times and reset the apn settings to default with no success. Voice and text messages work as expected using the Google Pixel XL.
Data roaming is switched on in my online account. I did have a go at the text messaging service but had to stop after 2.5hrs to go out for our evening meal. Didn't really get anywhere with this as the web page sent to me to answer the security question kept saying the secure form could not be opened. I'm on the shared hotel unsecure wifi and guess this was causing issues. I'll have a go phoning CS later. I have had data roaming previously but think it was on a different SIM before I upgraded to the current 4g contract and needed a new SIM card.
If you have recently changed SIM it may be that the although roaming was active previously, by default, it is now inactive. I will send you a Private Message to get some more details to look to activate this for you.