Too difficult to program alarms guv
Perhaps they should disable premium calls/SMS while roaming. It's not exactly a typical use case.
Europol and la policía española have taken down a gang of alleged cybercriminals engaged in a fraudulent phone calls scam, said to have caused financial damaged estimated at €2m, as part of an operation codenamed "Walker". Coordinated police action in Barcelona on 6 July resulted in the arrest of nine suspects and the …
At least one operator I use allows you to configure whether I want to allow or restrict premium calls and SMS, and other types of services--I imagine others are the same? Working on the uninformed presumption that those services are not often used by the majority of the population, I would recommend taking five minutes of your time to disable them as a precaution.
The other precaution when travelling to a high-risk area such as Barcelona¹ is to get a prepaid card (in-country or from home, depending on your use case), that way the loss is capped to however much you put in the card plus the phone itself plus whatever else they have taken. Expect to be separated from your credit cards, passport, boarding passes if you already have them, and whatever other stuff you happen to be carrying in your wallet or purse.
¹ In terms of petty crime (and corruption). The upside is that there is no violent criminality to speak of.