Do you have a Guido membership?
EU roaming calls/texts/data only work on Guido and not on any other membership.
If you do have a Guido membership then..
You seem to have an iPhone in which case this issue due to the stupid way that Apple do things may be relevant:
https://community.48months.ie/t5/Most-Popular-Questions/iPhone-abroad-issue/td-p/36862You may have to be very persistent and try that many times before it works.
Switching airplane mode on and then off and then trying it quickly may help to catch the local network briefly allowing the configuration change to be made.
Hope this helps.