Only one SIM card can have a 3G/4G connection at any one time. The other SIM will operate at 2G, which is why it is limited to Edge. These settings follow the SIM card (as opposed to the SIM slot). To set the second SIM to 3G/4G, you’ll need to set the first SIM to 2G first. In some cases the 2G option isn’t shown, if that’s the case try following these instructions.
I can’t say why SIM1 has no data - this could also be something at provider level. When I’m roaming I sometimes end up on networks that don’t seem to like my data plan - when I reselect automatic network selection (somewhere deep under sim settings) the data connection often comes back (even when it reconnects to exactly the same network).