A lot of devices (TVs, Cable Tuners, VCRs, etc.) are sold only in the US or only in Europe. The 8910 includes a lot of setup codes for devices that aren't sold in Europe and more seriously doesn't include setup codes for devices that aren't sold in the US.

The basic principles of IR signaling are the same. If you have it learn the signals that aren't built in, that will work. If you happen to have devices which use the same codes as US models, built in signals will work.

The problem is that the learning memory is quite limited. By using a US remote in Europe you increase the probable fraction of signals that won't be built in and you'll probably reach the limit of learning memory before you get your devices well supported.