Have you considered that the EU isn't one country?
Have you considered that the EU isn't one country?
https://en.wikipedia.org/wiki/Multimedia_Messaging_Service
It is not unusual for there to be hosting or intermediate storage of images and other files, and from the phone you may tap a link or something to download/access that file, instead of having it automatically download and appear immediately, due to bandwidth and resource constraints.
I guess a phone/app could exist that does convert to MMS instead, though, since the app can make that decision.
Both of these exist, as do middle grounds between them.
I'm in only one WhatsApp group with someone local, everyone else in my chats is from abroad. Yet I'm from a country with dirt cheap data and nearly universal smartphone ownership. People just don't use WA here for whatever reason. But drive an hour across the border and suddenly everyone is on WhatsApp.