Is roaming free in Macao if I'm using a European or even a Hong Kong SIM card?

No, this is a critical roaming trap! Although Macao is geographically close to Hong Kong and mainland China, it operates as a Special Administrative Region with its own distinct telecommunications infrastructure. Your 'Roam Like at Home' (RLAH) plan from an EU carrier definitely does not apply here. Furthermore, even many Hong Kong SIM cards treat Macao as an international roaming destination, incurring additional charges. The moment you cross the border into Macao, your home plan will likely trigger expensive roaming fees. An EastESIM for Macao provides predictable, affordable data.