This is an interesting question.
Bitstamp claim they're regulated across Europe with this -
https://www.bitstamp.net/payment-institution-license/Which I've never heard of anywhere else. Ever.
EU should be harmonised but the demise of Localbitcoins in Germany only suggests that might not be the case.
https://bitcointalk.org/index.php?topic=886598.0;allKraken operates everywhere but it also seems they don't give much of a shit about regulation. Maybe you should contact the main EU operations like bitonic.nl and bitcoin.de and ask them.