Unexpected mobile usage in roaming countries not covered by your operator plan can result in an expensive bill at the end of the month. But if you want to make sure your devices cannot roam in specific zones, you can do so by specifically denying Mobile Data in those zones.

Go to Policy Groups, and open the group you want to prevent from roaming. Under Mobile Policies, select the appropriate zone, and then select "Deny Mobile Data in This Zone". Once confirmed, the zone data plan of that zone is deleted, and devices in this group attempting to connect over cellular from that zone won't be able to.