I'm always on ROAMING, even on local network

Depending on network operators, you can be Roaming all the time if the netwerk operator is "leasing the line" from a bigger network operator. If you are roaming when you think you are local, and you set the Roaming option off, and immediately you can't use the internet and phone/sms, it's probably that construction. If your phonebill always looks normal, you don't need to be afraid, except if you go abroad, then you'd better watch out with your calls and 3G use.

Have you checked your settings?

SETTINGS > WIRELESS & NETWORKS > MOBILE NETWORKS > DATA ROAMING

Try it with that box unchecked.