Here in DC, we get them, but generally only in homes that aren't kept clean - which can a problem in large apartment buildings, as it only takes one slovenly neighbor or poorly tended garbage area to let a colony grow and become a visible nuisance.
And what about Europe? Probably too cold in most of the continent, but present in Mediterranean regions?
Seems like a U.S exclusive bug.
As with other areas they live in or near garbage areas, but as far as I can tell not as common as one could think. I don't recall seeing any for example during garbage collecting emergencies. They could be present in homes though, especially old ones where small cracks in concrete or wood can offer a place to hide. That was the case of a 4th floor apartment I lived in over 30 years back where we were never able to find the source of those bastards. That wasn't an invasion, just 2 or 3 a week, so we weren't that pressured to call for someone to eradicate them. The solution came totally unexpected: one day my father brought a cat into that house and from that moment although we keep finding those 2 or 3 cockroaches per week, they were dead. Some time passed by, and one day I found the cat scratching near a baseboard corner; he just found the small crack the roaches used to live in and killed all those coming out of it. We sealed the crack and never saw a cockroach after that. I moved two times since then, and although my father kept that cat, I soon got two, and besides being wonderful companions, they kill anything entering the house uninvited, including bigger nasty mosquitos.
Friends at university said they have plenty in dorms, but a visit made it self-explanatory.
The main problem is that, like rodents, they can be a major health hazard as passive disease carriers. A pet rat is as different from a wild rat as a pet roach is as different from a wild roach.