Data roaming automatically turns itself off and warns you that it has done so when you use your phone with another network. This usually happens when your in another country and it will even happen if the other country has the same provider.

For example, on a recent trip in europe on business, my phone connected to the local O2 network which is the same network name I have at home. However, data roaming automatically switched off because it knows that I could incur expensive charges for using my phone abroad.

As others have said; if your worried about roaming, phone your network provider and ask them to set you up a deal when your using another network (i.e abroad/outside of your current network providers territory)