Did you ever hear DIO speaking English?  Non, non, non, non, non.  I'm sticking to the source material.

Elsa and Anna were from Scandinavia, but they're in an American production so they speak English.  The characters from Kung Fu Panda all live in China, but Dreamworks is American so they speak English too.  DIO might be from England, but he's in a Japanese production.  Even characters in Jojo's, whether Egyptian or Indian or American or whatever, all speak the same language.

That said, he is definitely intelligent enough to learn multiple languages, and will switch over to English once he discerns that the populace is speaking it.