Data Roaming is when you go abroad and cannot pick up your Home Network (O2), If Data Roaming is on the phone will search for a local Network. (beware of HIGH data charges though), if you don't want to incur these charges then Turn roaming OFF. When at home you can leave it off.
Data Roaming applies when roaming internationally/out of the country on an AT&T partner network.
Roaming internationally must be requested by you and approved by AT&T before doing so. This is beneficial to those who want to minimize their data roaming charges when out of the country since this is billed in full for all data downloaded and uploaded when checking and downloading email and web browsing, etc. There are no such charges when connected via Wi-Fi when roaming internationally - only when using the cellular network for data access.
Also for those who are in the country but live near the border of Mexico or Canada where cellular towers located across the border can be picked up without your knowledge.
It is off by default and you should leave it off unless you travel outside the country and need internet access other than via Wi-Fi.
Scratch the AT&T and U.S. reference - I now see you are located in Scotland but the same applies when what is considered roaming internationally on an O2 partner network.
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What is Data Roaming
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