So while the exact veracity of this anecdote is impossible to verify, I can talk a little bit about the slave trade in Northern Europe at this time in history.

Slavery was an integral part of the Anglo-Saxon world, as well as other cultures and groups in the North Sea world. Scandinavians, Saxons, Frisians, the Irish, Romans, Franks, and so on all engaged in the slave trade, and would continue it for several centuries. It was not outlawed in England until 1102. At this point its likely that most slaves were captured in raids or the small scale wars that were endemic to Europe at this time. Ireland in particular was a common source for slaves, though England was also the site of depredations by Scandinavians as well.

The slave trade also was quite profitable and prevalent in the Mediterranean world as well. However the Mediterranean economy had undergone a shift, and radical downsizing, in the centuries following the collapse in Roman authority in the west. Slaves were still commonly found in markets in Italy especially but were often sources from what is today the Balkans.

Scholars have identified the shift in western Europe's trade network from the broader Mediterranean world to a North/South Axis from Scandinavia down the Rhine towards the Alps. So it is unlikely that large numbers of slaves were being moved from England down to Rome for sale. The supply of slaves in Italy came from elsewhere and the long distance trade of the Roman empire had failed some time in the past. So the exact truth of this anecdote is somewhat suspect.

Slaves were taken by many different groups at this time, and we should try to not ethnicize the slave trade in the Medieval world. Although the white skin of the Angles is played into their need for salvation, slavery, and the slave trade, were not restricted by ethnicity or religion at this time.