No, data is not affected yet. Currently there are only two EU rules applying for data: One affects only operators, who may not charge more than € 0.50/MB each other (however consumer tariffs may still be higher) and the other says that consumers must be cut off from data usage after reaching € 50 (+VAT)/month (see
Roaming: The roaming regulation | Europa - Information Society), but it does not rule the actual price.
There are plans to introduce a price cap of € 0.90/MB from 2012, which shall be reduced to € 0.50/MB until 2014, but these are still in an early stage of legislation.