In my experience the problem with roaming mode is it blocks the login page for wireless networks. IE: in a coffee shop. Maybe that's been fixed recently, but it was a giant PITA in the past.
I suppose because of DNS servers. Shops give you own "correct" dns for showing you adds on any first request.
You can use iodine for those wi-fi hotspots that charge for access. It tunnels TCP-over-DNS
I never even thought about using a DNS based tunnel for this problem. Amazing.