Hi,
It is not according to us. We don't decide which countries are in the European VAT zone. We just transposed the treaties of the European Union regarding VAT.
If you want to have a European shipping zone (different from the European tax zone that is already by default in HikaShop), you can create it via the menu System>Zones and add to it all the countries you want as subzones.
We do not specify any shipping zone by default because every transporter will user different shipping zones. Some might split Europe in west and east europe, some might not, some might split america in north and south, some might not, etc. So if you need shipping zones, you can create them yourself via the interface we propose.