The EU is a legal entity. Europe is the continent/area. The EU does not protect freedom of speech more than the U.S.
Also, the EHCR is an organization of the Council of Europe which is entirely unrelated to the EU. This is a weaker association of states including Turkey and Russia.
So the EU could have a directive that guarantees freedom of speech across the board? Seems like your just arguing semantics.
Also, the EU cannot regulate everything. I think that a directive about free speech is not possible. However, there is the Charta of Human Rights that is signed by all member states of the EU that guarantees freedom of speech. Again, this construct has the wrinkle that this charter demands the individual states to uphold these rights. It institutes the European Court of Justice as the highest court in matters concerning this charta.