How long ago did your contract start, as I think you normally have to wait six months before you can use roaming?
"Some customers may be restricted from roaming for the first six months. They can then ask for roaming to be turned on subject to their payment history. We’ll tell you at the time you order your SIM if that affects you."
Not sure how BT can get away with blocking access within the EU especiallly since the Roam like Home rules came into force on 15 June 2017.