Trouble with PAYG when roaming is the billing issue - on PAYG it needs to be done in real time so that you don't exceed your available balance, on contract it's usually done daily.
On contract, you get to use the phone pretty much anywhere as the roamed network will send the billing data through to your home network later and they will get paid. For PAYG, with a few exceptions, the roamed network needs to support CAMEL roaming so that your call won't be connected unless you have the credit to pay for it. If you're on PAYG and the network you're roaming on doesn't support CAMEL then you can't use your phone.
The GSMWorld site should tell you whether each network supports CAMEL in the Services page for each network.