No, you don't need a VPN in Europe. At least not in countries that are part of the European Union.
But you should make sure to have a mobile contract that includes Europe (or a local SIM)
Maybe I am not have understood your questions, sorry.
May I confirm are you asking whether you would like to run VPN client on the XE3000 and connect to your home VPN server so that you can access the Internet from anywhere in Europe as if you were at home?
If yes, you can first configure the VPN server at home, export the profile, and upload it to the XE3000.
The router will work in Europe exactly as it will in the UK
Of course, you won’t get any internet unless your unlimited SIM has an EU roaming allowance.