I'm not one of the afore mentioned, however quick thought which sprung to mind - are you trying to use O2 Travel data as a hotspot? If so then I know that's not permitted, so could be why you're having an issue.
If it's standard roaming data at standard rates then I'm not aware of any limitation/restriction so long as you're a Pay Monthly customer (don't think it's permitted on PAYG?), part from the roaming data spend cap on your account.
Edit: Too slow! Haha