That sounds more like a movie than "Western Europe." Nobody shoots at legs since it is ineffective, can end their life anyway, and can risk collateral damage (what is behind that leg? What if the bullet bounces off of the bone?). You shoot to kill, period.
Here's what the UK police do: https://www.youtube.com/watch?v=Vf3RZ7gi2f0
Which is exceptional policing in my opinion. But no shooting at his leg.
PS - Not disagreeing with the argument that US police are too quick to kill people, even unarmed people. Just that shooting at people's legs is a legitimate alternative. Even when armed, other countries kill citizens much more rarely.
PPS - Another good video showing UK police's constraint, this time armed officers: https://youtu.be/nVOLH_aN-zI?t=3m35s contrast that with this: https://www.youtube.com/watch?v=wwYVJ4W7DPo both incidents involve a cap gun and armed police (one in the US one in the UK).