Cellular network - establish a data connection via phone company's cell towers
Data roaming - if off, establish a data connection only when associated to "native"/"home" cell towers (eg. with a Telus SIM card, only establish data at Telus coverage areas); if you turn this to on, it will associate with any network (including foreign) that your phone can detect and you'll be responsible for data roaming charges (big $$$).
So if you want to avoid roaming charges, make sure at least the data roaming is set to off (should be by default). Better yet, get the phone unlocked and buy a local SIM.