I'm using a Nokia Lumia 625 with Windows Phone 8. I currently have a small triangle icon which I understand is an indication that roaming is activated. But when I check the settings, it says roaming is disabled. Is this a bug or something
You cannot disable roming. You can only choose if the data connection will be used during roming. Thus, while roming, the icon will always be there.
The option in the network settings just lets you choose if the mobile data connection will be active or disabled during roaming.