Actually the bank is not charging for using your Curve card in the EU. The bank is charging because you are using an EU underlying card (online) in the UK (or in general; outside the EU).
For the bank the underlying card on a UK Curve account/card is always used (online) in London UK/GB, this is regardless of where the Curve card is actually physically used.
So if your underlying EU card bank charges you for use in the UK, you will also be charged for using your Curve card (on a UK Curve account), with the EU underlying card selected, in EU, UK, US, Australia, Japan or wherever. This is because for your underlying card your Curve card (if connected to a UK Curve account!) is always used online in London UK/GB.
So if you want to check anything with your EU bank, you should check if they charge you for using their card (so not your Curve card) outside the EU. If they do, you will always be charged when using their card as underlying card on your UK Curve account, regardless of the location you are using your Curve card.
If the above is applicable depends on which address Curve has on file for you. If it’s your EU address the above does not apply to you (but in that case your UK bank might actually charge you). If it’s your UK address the above does apply to you.