Some of these European countries such as France are quite authoritarian. They frequently pass (update: propose/push for) laws to ban VPN and even social media, request access to private messages, etc. It seems to me the situation is equally bad in EU.

You have no idea what you are talking about, really. We don’t "frequently" pass such laws. Nobody is accessing private messages, even if there have been such attempts.

The EU has still the strongest privacy laws world wide, and in contrast to others a strong ethical foundation. It may be slow, it may be torn, it may be overly beaurocratic, but sure enough not authoritarian.