Do you have a Guido membership?
If not then nothing is going to work as EU roaming only works on Guido and not on any other membership.
If you do have a Guido membership then do a manual scan for local networks and try to connect to one.
If that doesn't work then you may be seeing the usual iPhone roaming issue due to the stupid way that Apple do things.
You may need to be persistent and try many times to get that working before it works.
Switching airplane mode on and then off and then trying the reconfiguration quickly may help to "catch" the local network long enough to allow you to make the change.
Hope this helps.