I'm not in the EU, but had 2 accounts with Sony/Playstation (I'm pretty sure both sat unused for more than 3 years). I tried to delete one and it seemed impossible. The FAQ said to call support. I called, waiting for 45 minutes, and they said they couldn't help me and hung up before I could respond.

While I believe they would delete a user's games, I don't know if they would actually willingly give up holding on to customer data.

My guess is this is more of a CYA incase they want to clean up accounts at some point, rather than something they actively do.