USB Dongles/Modems are in effect the same as chipsets used in phones, just not with the voice stack.
They still have an IMEI, and work on the same principles as a standard GSM/HSDPA chipset in a usual phone.
They can be easily locked to a specific MCC/MNC and will require PIN's to unlock.
As stated, they can be picked up for next-to-nothing these days, so it's probably not worth arguing with your current one, and just getting a new one.
As for the roaming prices, they exist for a reason. The carriers don't make as much as you think on roaming data (they make substantially more on roaming voice than they do from data, on a pure percentage basis not dollar basis), and it's extremely difficult to work with (real-time updates just don't happen, it's a side effect in the way GSM has been designed - GSM/UMTS works great as an autonomous system, and great for roaming, but integrating real-time billing updates is extremely difficult, and where mobile data can be downloaded in extremely high speeds, it's very easy to use 5-10mb in the space of 60 seconds, and get whacked for it in your bill).
There's a reason very few people do pre-paid roaming data.... It's not easy (nor cheap).
It sucks, but dem's da breaks as they say!
(The Vodafone UK one is the cheapest you'll find for roaming within the UK and Europe, and unlike AU, Vodafone there is actually pretty decent, I use it whenever I'm there, and also roamed around Europe with it; £2/day for 20mb or 5mb, depending on your country, with an SMS indicating when you've started to use it, what your allowance is, and SMS's when you approach and reach your allowance; it's quite good).
FWIW, probably 90%+ of dongles are manufactured by Huawei, with software they call 'Mobile Partner' being used to manage connection and associated profiles for the device. I use the generic version of it (as I get it OEM as we sell dongles) but the rest are just re-badged versions of this (albeit some of them very pretty re-badges like the 3 UK one for Mac). They can all be used, providing you can change the APN settings. You shouldn't need the generic version specifically, unless the carrier has branded it to the point they have a 'connect' button, and that's about all!