I don't mind this, what I do mind is that there is still no way to verify my identity without giving private information to third parties. Why aren't governments building zero knowledge proof-based solutions to this?

Is exactly the question. Maybe this will actually make that happen.

(I believe some EU countries do have digital attestation tools?)

Because governments are notoriously inept and corrupt. I think it's bound to happen eventually (though probably not ZKP), but I'm not holding my breath.