Are you on a Guido membership?
EU roaming only works on Guido.
If you are on a Guido membership and are using an iPhone then the issue could be the "roaming profile" one due to the stupid way that Apple do things.
In that case you need to try this tip
Be aware that you may need to be persistent and try that many times before it works.
It may help to switch airplane mode on and then off and then quickly try it as this may allow the phone to briefly catch the local network and expose the relevant settings allowing them to be changed.
Hope this helps.