Weird, all the carriers I used either have free international roaming (at least for receiving text), or have wifi calling which allows me to use my phone as if I'm on the home network anywhere with an internet connection.
And though the one I used before did, I usually have a cheaper local SIM in my phone for data use when I'm traveling, and I'm not swapping SIMs just to authenticate to some company that hates its customers.
I'm pretty sure it's illegal for an EU network to charge for receiving a standard SMS or MMS - even while roaming.
I can therefore receive an SMS OTP in any country and won't pay a penny.
False
Note that the law in Brazil forbid telecoms from charging to receive phone calls or messages, even when roaming. But I guess the regulations don't extend to foreign users that are on international roaming, or companies do it anyway counting that the person will only find out after returning home and won't know how to fight it. Authorities are not set up as well to receive complaints from non-residents.
Many people don't have free international roaming, in fact mine only has roaming for US (I'm in Canada) and for zero roaming options available outside of North America.
Receiving calls isn't necessarily free when roaming.