My understanding of the way these things work (which might be wrong) goes like this:
not all 4G is created equal - depending on network etc it will use different spectra. EE for example uses 1800 MHz, and AT&T in the states uses something different. The phone needs to be told which spectrum to look on for each carrier's 4G, and the firmware does this. The alternative is polling a wide spectrum range for signal, which would probably destroy the battery. (In addition, although the Lumia 920 is capable of working with a wide variety of spectra, some phone are not, hence part of the reason for things like a Verizon iphone 4 in the states.)
Judging from what other people have said, Belgium *might* use the same 4G spectrum as EE (or include some of the same range) and if it does, then UK 4G might work if you flash Belgian firmware. (I can't seem to find out what spectrum Belgacom use. My french is rubbish.)
The folks over at the XDA forums will be able to give a much better explanation of this than I can attempt to.
I would certainly agree that advertising the phone as 4G capable and then it not working with the UK's only existing 4G network out of the box seems like a shambolic clusterf**k. Have you tried flashing EE firmware to the phone? (I think the firmware is different to the sim lock, as you can unlock EE phones, but [RXP]Andy would be the person to ask.)