Are you on a Guido membership?
EU roaming only works on a Guido membership.
If you are on Guido then, since you seem to be using an iPhone then this issue, due to the stupid way that Apple do things, may be relevant.
You may need to be patient and persistent to get it working.
Toggling airplane mode on and then off and trying the roaming profile reconfiguration tip quickly may help.
http://community.48months.ie/t5/Most-Popular-Questions/iPhone-abroad-issue/td-p/36862Hope this helps.