I can see no reason why cell broadcast (CB) messages shouldn't be
received and decoded while roaming.  If they're not, I suspect
it's an implementation issue for the individual phone
manufacturer.

If you're seeing the monitored channel list change, I can only
assume that this is a side affect of having CB indexing (the
topic list optionally broadcast on channel zero) turned on.  You
could try turning indexing off.  But topics missing from an
actively-broadcast index are surely not being broadcast anyway.

John