Data roaming just means using mobile data whilst roaming - voice calls don't use data.
If you've received a text message abroad, you have a network connection and are thus roaming. WiFi-calling is a coverage extension tool for use in the UK and isn't intended to be used abroad.
What exactly do you mean by "can't pick up my voicemail"? Are you saying that your phone won't dial voicemail? That your phone can't make any calls? That the voicemail service won't let you access, due to PIN protection?
