It is not Cingular it is the roaming carrier. They don't release the phone from the system when it is switched off. As a matter of fact, at this year's Gitex (the Middle East's largest tech show), they were actively demonstrating technology aimed at enhancing roaming revenue by increasing the time your phone remains registered on the roaming network and using a software trick that would slow your phone down on registering on a competing carrier.

Under this approach, if you landed at Frankfurt, powered your phone back up for one call to tell your wife that you made your connection, and then shut it down and boarded at plane to the US, you'd be paying these roaming rates until you powered your phone back up in the US.

As annoying as it is, you need to either disable your voicemail or hardforward (e.g. not conditional) all calls to voicemail. If you let the system send it to voicemail if you don't answer, you will hugely increase your roaming bill.

This is another reason why I use a roaming SIM when traveling. They have written a special algorithm to send calls to voicemail that is not dependent on a conditional call forward.