Indeed it is confusing but to be fair when you click to Open it there is more explicit detail shown:
"When roaming in EU and selected destinations your goodybag will work exactly as it does in the UK. When roaming outside the EU you’ll need to have credit in your account to make calls."
Nevertheless to further emphasise what that setting means perhaps it should be called:
"EU Roam Like at Home Status"
Then there is the question of whether it should be under Settings at all as it cannot be set by the user which has led to several help threads! :S