I'm aware of that, so I can understand where the idea to put Europe in the watermark is coming from. That said, with everything that is going on, it's at least a little insensitive to have a symbol from Greek mythology on your bank notes, that relates a story that almost seems too coincidentally analogous to how a lot of Europeans feel about the Euro, the ongoing integration of Europe at the expense of national sovereignty, and the Greek bailouts.
A lot of Europeans feel tricked into accepting a common currency that now appears to be used as an instrument to railroad through measures that promote European integration, is leading to austerity, higher taxes, higher unemployment, and less national sovereignty. Whether or not this feeling is justified is not relevant, that's how many feel about it over here right now.
One thing worth mentioning in this context is that the images of buildings and bridges on the notes were specifically chosen to be imaginary, instead of depicting real buildings from European countries. The rationale for this choice was that the Euro was the common currency of all Eurozone countries, and putting e.g. the Eiffel tower or the Colosseum on them might send the wrong message to people living in countries that did not have any national monuments depicted on Euro notes. Still, somehow nobody thought anyone could ever get any wrong ideas if they put the mythological Europe in the watermark, which I personally find pretty strange.