The only UK network you'll be able to roam onto is Orange (because of the merger), and I believe that you can still only get 2G data when roaming onto them.

So a simple test: uncheck it, go somewhere where your phone will lose T-Mobile coverage and switch to Orange (or maybe just manually select Orange), and see whether you get still get data ("G"). If you can, leave it unchecked. I'm assuming here that you are registered for the Orange/T-Mobile roaming thing - if not, you may as well uncheck it anyway.

The reason I don't simply know the answer is that my ROM has separate check boxes for national and international data roaming, which is different from what I remember of the HTC software.