CRITICAL WORKAROUND FOLLOWS - EDIT: NOT TRUE (see below)
Enabling CLAT and switching the access point to IP protocol (rather than Dual) enables connectivity on Vodafone IT, and I assume on all non-working networks.
Jolla crew, please consider this in order to find the issue.
UPDATE: Connection does not work any more. Rebooting does not take it back. False alarm, the issue is still there.