I'm reviving this thread as I have the same problem here. Just got my new sim card as I moved back to France and all my settings are related to France and my sim is recognized. However, the roaming icon is still on. I tried to turn off/on the plane mode, didn't work. Disabled roaming in the sim settings, didn't work.
I'm on 8.1.1 DP + Cyan.
My phone is a Canadian phone (Rogers Variant), could that be the issue? If yes, that pretty stupid... Should I flash my phone just for that?