It's there... just like the user guide says, I just checked on the demo phone here in the store.
Setting Roam Mode
Your phone allows you to control your roaming capabilities. By using the Roaming menu option, you can determine which signals your phone accepts.
Choose from two different settings on your phone to control your roaming experience.
1. Highlight Home and press Menu/OK > Settings > Others > Roaming > Set Mode.
2. Select an option:
I want to STOP my Sanyo/Kyocera INNUENDO from going into and out of Roaming. Never mind the booklet that came with the phone. There, you are told to select Sprint, and not Automatic or Roaming from the MODE menu. Forget it, the choices do not exist.