International roaming, which enables access to foreign networks, is not a phone setting you can alter - it's at account level. The process differs between pay-monthly & PAYG, which are you?
If PAYG - roaming is auto-enabled providing your phone has been used in the UK first. Was it?
If pay-monthly - roaming needs to be manually enabled before leaving the UK, normally by texting ROAMING to 150. Did you?
The setting you've changed is very likely "data roaming" - all this does is enable your phone to use mobile data abroad providing roaming is already in place.
