I'd advise you to speak to a local tax expert regarding what type of tax you'd need to charge when selling to a European customer when buying from your store. I can't stress that enough. If you don’t have to charge tax in Canada and the US, then you simply dont set it up in your tax settings. If you want to charge VAT in the EU, then you'll need to add your EU location under “locations” and set up your EU tax settings.
Can I ask you to clarify what you mean when you say:
We would like to offer USD for US/Canada (not tax) and EUR for European countries (and colect VAT)
Do you mean you'd like to charge USD for any orders from Canada and the US? Can I ask, why you want to charge USD for Canadian orders? It would be less complicated and easier to set up to charge CAD for Canadian orders and USD for US orders. The best way to apply charging the correct currency is through the multiple currencies feature: