I believe it depends on the configuration of the network you are connected to.
Years ago I used to travel to Germany regularly and never had a problem connecting to data, but then I went to Italy and couldn't get a data connection. I then found the data roaming switch on my phone at the time and got data in Italy, but it was never required to be on in Germany at all.
I have no affiliation whatsoever with O2 or any subsidiary companies. Comments posted are entirely of my own opinion.
This is not Customer Service so we are unable to help with account specific issues.Currently using:
Pixel 7a (O2 & Lyca), One Plus 6 (Sfr), iPhone 12 Pro Max (Vodafone)