MCP doesn't work with EE (on contract or PAYG)
If you try and connect to the network you get a 'no access' message - as if no roaming agreement is in place.
Interestingly it does work with Orange and T-Mobile accounts.
I first queried this problem nearly 2 years ago with both EE and later with MCP themselves via their website. They both blamed each other and after a bit of going back and forward I gave up. Like you say it's still not working now. Whether this is intentional and they no longer have an agreement, or whether it is a fault I don't know.
As a side note roaming on MCP with 3, O2 and Vodafone (contract and PAYG) works fine, although a 2G only agreement with O2 and VF.