Roman numerals for 20... not a normal convention by any means in MMXXI

It is a normal convention in Europe (or at least parts of it).

20th century in roman numerals

I think you're thinking of MM, which was the last year of the 20th century.

We're still a few years out from the 2000th century.

That would be MCMXCIX

No, 2000 was the last year. There was no year zero.

Hmm, interesting - I stand corrected. So the first millennium was years 1 through 1000. First I've heard of it! Another casualty of 1-based indexing I suppose. Perhaps the people setting the system up didn't have a concept of 'zero'?

There is a Seinfeld episode that covers this topic.

https://en.wikipedia.org/wiki/The_Millennium_(Seinfeld)