Getting a prepaid unregistered SIM is no longer possible in an increasing number of countries. I think most of Europe requires identification to buy a prepaid SIM.
I have not had an issue buying a prepaid sim in eastern europe AND EU is a "free roaming" zone, so if it works in the Eastern parts, it's going to work everywhere else as well.
Most likely they have heard of the MVNO/"service reseller" LycaMobile, but how does that respond to their comment at all? LycaMobile still require you to register your ID with them in countries that have that rule.