Same issue for me. I have 2 SIMs, one from country A and one from country B. I live in country A.
Every time I get a call from country B, even if they dial my number with country prefix, it's still not recognized as one of the known contacts. I saved all my contacts with country code, so I can call them even if I'm outside of the country.
I can't test what happens if somebody from country A calls me when I'm away from country A, as I don't have roaming for country A.
Is this an operator issue or is this a phone issue?