I am not sure why that would matter? Besides the phone unnecessarily looking for 4G abroad, when there's no roaming agreement.
At some point Three (and O2) must be looking to offer 4G roaming too, surely? Feel at Home is great for a lot of people (I feel I have to say that to avoid being shot down) but it is now looking less appealing given;
a) 3G only with throttling/blocking of services.
b) Vodafone offering up to 4GB a month in all of Europe, not just selected countries - and Three not having added any new destinations for ages.
c) EE about to do the same with up to 40GB a month (in reality, I suspect most subscribers won't be taking this particular plan, but it's there).
d) Ordinary roaming charges if you don't have any bundles at all aren't that bad. For some relatively low users, or very occasional users, it might be fine.
e) With EE and Vodafone, you can tether the data - so the tablet you also brought, or the Kindle, or the laptop can be taken online.