> My mental model for old fashioned physical SIMs is that they would roam on the network you're visiting.

No, that's never really been the case. It's technically possible (and called "local breakout"), but for various reasons I also don't fully understand, it's usually not done that way.

One is legal liability for user actions; another is accessibility of services at home, such as banking apps, that are probably more comfortable with a familiar IP.