I suspect if half the console market was unlocked ala the Steam Deck, the EU would be pushing for the other half to also be unlocked, too.
We also have to keep in mind that Epic sued Apple, not Microsoft, Sony, or Nintendo. A lot of monopoly maintenance involves obfuscating the business relationships that make the monopoly work. i.e. Apple doesn't report how much money they make from the App Store[0] because that information would be very useful to regulators looking to undo their monopoly. The discovery on the Apple lawsuit published a lot of this previously hidden information. In other words, the EU had Apple land on their plate ready to cook and serve.
Epic will not sue their console partners. The damage to their business would actually be a lot worse: instead of merely seeing Fortnite taken off the various console stores, the console manufacturers would be sending repo men to take away all the devkits Epic uses to test Unreal Engine, demanding they delete the console ports of the engine, and refusing to cert any new games using Unreal Engine, forcing all their partners to license different technology and rebuild their games from the ground up. It would be immediate and total financial suicide.
In other words, the console manufacturers are "getting away with it" because they had way more control over their niche than Apple did.
[0] Related note: there's an unenforced SEC rule that specifically forbids not reporting this information, to prevent monopolies from obfuscating their profit centers like this.