If you check recent threads you'll see that many people are having trouble using UK/EU roaming. Some can't use data, others can't get anything working. There are some suggestions on things to try but no failsafe solution that I've seen. Several people never managed to get anything working while roaming. You should check such threads and maybe contact 48 support (see the link in my signature below).
I can't believe Three would deliberately f*** up their own 'daughter' running on the same network, when they provide 4G access in the UK and probably can access also other than O2-UK
