I never received a SMS from Italy when I was on vacation in Australia in 2019. Apparently my phone contract would allow them but either the phone company did not honor its terms or banks didn't send SMSes to roaming customers. I ended up using Italian payment services that either had their own app or other methods to perform 2FA. I also had an Australian SIM but there were no chances to associate it to my accounts. I guess that it's fair, because a foreign number all of a sudden is a red flag for a stolen account.

And nobody sent SMS to me, everybody used WhatsApp or similar services.