Welcome to Vodafone Community
I am aboard (Greece) and while I can make phone calls and sent sms with my new activated sim I cant receive either.
The phone find several official greek mobile networks but not Vodafone GR and is connected on an unknown network MAZI XEKINAME PALI (we started together again).
I tried also to register to my account but for the same reason I cant receive the security code.
For the SIM to fully active the first connection would need to be made on the local network in the UK. To receive the security text to verify identity you also need to be connected to Vodafone UK.
If you left for Greece without activating the SIM and setting up the account this may be the cause of the problem.
Try going into your network settings and do a manual roam, if Vodafone Greece comes up as an available network you should be able to manually select.