But that “app” also has a review process, rules, uses a single platform which costs quite a bit to maintain, etc. If Apple were to split the App Store into two separate platforms, they’d have to have a whole additional review process they’d have to maintain with a separate review team, a whole separate software to manage, etc. all just for one region of the world. It would be quite a lot of cost and effort to go to rather than just adding a setting buried in the Settings app that you can toggle on with a bunch of popup warnings. I think if Apple were to limit sideloading to the EU, the least likely and most convoluted way to do so would be splitting the App Store into two entirely separate platforms just to appease one region.
But not every app is available in every market. Apple will put the owness on developers and possibly a third party for the sideloading aspect. The review process isn’t affected by that as far as I can tell.