Welcome to Vodafone Community
Why does it have to be so confusing to turn a feature on or off? The instructions on say to turn bars on or off to control how your phone or device is used. The bars actually say yes or no. The feature is worded confusingly like "Data while abroad bar". To be able to use my data while roaming. Is that a "Yes" if I want to be able to use data while roaming?
I am abroad and I can't get text messages, since my bars are turned off. The website login requires a text message verification to make any changes my bars and extras. Why isn't there an email verification option? This is very frustrating and there is no workaround.
You need the bars to be OFF, if you turn the bar on for receiving texts messages whilst abroad ON you won't receive any messages. It sounds like your bars are set correctly for receiving messages.
I would try refreshing your SIM on the roaming network, this is done by going into your connection settings and doing a manual roam, you are able to roam on any network where you are able to get a connection. If you are still unable to receive incoming messages, this will be due to the roaming network.
You also don't mention the country where you are roaming or if you are on PAYG or contract.