Hi FabioG,
some good news.
From 1st of July Prima has data&3G roaming on Vodafone Italy net. So finally you can use the web mobile services in Italy too.. with the good HSDPA/UMTS Vodafone coverage
Anyway in the last month I tried from France and I was connected to +37866 numeration (Orange FR and SFR, no Bouygtel). Did you have other test?