Hi,
There is not one easy option to do that but it's possible.
You need to turn on the "force shipping regardless of weight" option of the HikaShop configuration so that shipping is required regardless of the product.
Then, create two warehouses. 1 for digital products and 1 for shippable products.
Then, select the warehouse in each product based on its type. You might you want to use a mass action in order to automate that process.
Then, create a shipping zone with all the countries outside the EU as sub zones.
Then, restrict your shipping methods to the warehouse for shippable products, and create a new "free" manual shipping restricted to that shipping zone you created for the countries outside the EU and restrict it to the warehouse for digital products.
That's it. On the checkout, you'll now have the shippable products and the digital products separated, each group with its own shipping methods selection and if the address of the customer is in the EU, the system won't find any shipping method for the digital products and it will display an error message in that case that you can customize with a translation override:
hikashop.com/download/languages.html#modify