What is your carrier? AT&T supports roaming across the USA for phones but not for the new Watch. The only place in the USA where I have not be able to use my AT&T service was at the bottom of the Grand Canyon.It seems to me that there is still a misconception here.
In the US there is no roaming. I went on vacation in a different state where my provider doesn’t have cell signal in the area.
To stay on topic, it does not appear to be an issue with LTE or UMTS(where supported), but with the Number Sync function that is being used and what would need to be added to support cross-carrier roaming.
Dave