My pocketwifi is from Glocalme. I have used it before
Good. At least you have it set up and are at least somewhat familiar with using it (presumably you don't have to futz with settings when changing from one country to another - true?).
Is this your device (that is, you're bringing it with you, taking it home) or one that you're renting once you "get there".
IME pocket wifi devices are either brain-dead simple and trouble-free, or at least sometimes quite finicky and require way too much fiddling with (for my taste). The brain-dead simple ones I've used were rented (I've done this multiple times), essentially set up for me and handed to me, and were only used within a single country (Japan), the country for which they were set up (Japan). Easy, peasey, Japanesey. Then there's one I own, which was not my favorite tech purchase, but usually works (sometimes only after lots of frustration and fighting with it, and it's expensive).
I would just caution you that in my experience, it may take some fiddling to get it to work with the local cellular networks in some countries. The Balkans may or may not have cellular networks that work seamlessly with this unit (I have learned to take claims of network compatibility with a grain of salt), the only way to know is to give it a try. Don't expect high speed connections, but for text messages you won't need that.
I have never bought SIM card, and don't like the idea of having to hunt one down in every country I visit (is that true)?
It's actually not much of a task (usually). It's easy to find places that sell SIMs, only issues I've had were language barrier (in Lithuania and Poland, SIMs were easy to find, but understanding the plans was not simple). You may or may not need to swap SIMs when you cross a border - don't be shocked if you need to (I did). Some companies claim their SIMs work across the EU, but that may be squishy and filled with asterisks when you get to edgy countries (perhaps including at least some of the Balkans). My advice would be to try to be flexible when you have to. But getting and using a local SIM is fairly straightforward (just save the SIM from home!).
After your trip, please come back and post a review of your experience with the Glocalme pocket wifi device, I'll be curious to hear how it worked out. Good luck.