You need to turn on data roaming in order to use data while roaming, regardless of which non-US country you're in, whether or not you have a Choice plan that gives free data in 120+ countries, and whether or not you're in one of those 120+ free roaming countries.

When you first enter each country, T-Mobile will send you an SMS that tells you what the roaming charges are for that country, based on the country and your plan at home. If it's not one of the 120+ "free" roaming countries, or you don't have a Choice plan, then it will tell you what the data roaming rate is, as well as a code that you need to enter in order to enable data roaming. So, I don't think it's possible to use data roaming that will result in a charge, unless you specifically enter the enabling code, regardless of the setting on the phone.