I didn't have any trouble with my DX-398 (ATS-909) when I was in Spain and Morocco.
Some notes to keep in mind regarding differences between U.S. and European FM radio:
* European countries use at least 0.1 MHz spacing, rather than 0.2 MHz. As far as I know, some (Italy?) even use 0.05 MHz!
* Callsigns do not exist. Many, if not most stations are simply relayers of a centrally-programmed network and nothing more.
* This is not a universal rule, but station powers tend to be lower than in the U.S. In Spain, most stations ran less than 10 kW, with 1 kW being common (and much less often used for "community" stations). As a result, the stations you receive in one area may be very different than those just 20 miles down the road.
* In some European countries, such as the U.K. and Scandinavia, the FM band is sparsely populated, consisting largely of public broadcasters (NRK, SR, DR, BBC, etc.) and some commercial stations, which may have national networks. Boring? Yeah. On the other hand, Spain (and Italy is the same way, Greece, too, I think) has an abundance of FM stations, ranging from national broadcasters (RNE) to several national commercial networks to regional stations to little local / community stations. For example, if you do a search for all stations within 40 km / 25 mi of Madrid, you'll find 150! When I was there, I remember hearing stations just 0.2 MHz apart. It helps to move your antenna around, too, since their relatively low-powered transmitters may be located in different parts of town or suburbs. You can "DX" local stations there.