On the face of it, it is easy to say "it's just milk, it all tastes the same", but there are significant differences in how milk is produced in the US compared to the EU.

Most US-made milk is produced using genetically engineered growth hormones (rBGH) which are banned in the EU as they are believed to increase the risk of cancer. It would not be legal to sell US milk in the EU (or Canada) for health reasons. That, and other differences in production methods, could go some way towards explaining the perceived superiority.