You live in Europe. Where exactly? Europe includes Ukraine, part of Russia, and a few other non-EU countries. Even within the EU, it can vary.
"you have always been able to slap your SIM card into any phone you buy since 1995 or so. ... In Europe you always bought your phone from an electronics shop and SIM from a carrier."
Well, it has always been an option, but in Netherlands and various places where I've been on holiday, it's not what all consumers opt for. Plenty of people who get a new smartphone every 2 years. A phone bought together with a SIM often has a SIM lock, which means that it will only work with one carrier. Most shops here do not offer iPhones without contract.
In Netherlands, it seems that the 3G capacity is saturated. At least, data plans are expensive, especially with pay-as-you-go and MVNOs. MVNOs are only competitive as long as you stay here. Roaming rates tend to be the EU maximum, whereas the main providers often have better deals.