Programmers work on trains too, you know. Some of the busiest metro lines in the world are fully automated, pretty sure that code is held to a higher standard than some shitty YouTube feature.
EU member *countries" certainly do, but that's true of all countries that have the ability.
If anything the EU puts limits on what EU member countries and companies can do.
By hosting in one of the EU countries you have stronger legal guarantees on data privacy than in any other area.
A possible exception is Switzerland (not a EU member), which historically has had even stronger privacy laws, though these have been weakened recently IIRC.
You can try running in gamescope, although in my experience Wayland has not been an issue.
The few games I have that gave me problems in Wine didn't work any better when using an X11 session.