This is for system-level permissions. In third-party apps, the app asks whether you want to enable X permission and then you get an OS-level confirmation request. It's not just in Europe.
Likely they'll fall back in Europe to double-prompting as well in system apps.
Afaik the apps don't have to ask you, they could just request the OS-level permissions. They don't do that because if you reject the request at the OS level, they can't request it again, you have to go to the Settings app to enable it and it's harder to do. So apps prefer to just nag you again and again until you say you're ready.
I've never gotten that, I don't think? I only get the OS-level request. For ad tracking we're talking about? But even for stuff like Bluetooth or location.
I mean, I've had apps show a popup beforehand explaining what they want me to answer. But that's not required, nor does it seem common.
Likely they'll fall back in Europe to double-prompting as well in system apps.