Mandating consoles be opened up would destroy the console industry as we know it, but that would be a good thing - the only reason consoles were a good thing in the first place was because they were specialist devices that drove hardware innovation that simply wasn't feasible otherwise. Nowadays consoles aren't specialist hardware; they're PCs that have been slightly modified. The value proposition for consoles have almost nothing to do with new hardware capabilities like the N64 or PS3 promised (PS3 promised; the PS3's launch flopped due to Sony's arrogance and failure to cater to devs, not due to lack of power in the hardware itself - as later PS3 games demonstrate).

So suppose consoles were forced to open up - if Sony and Nintendo bought devs en masse, then 1) that sounds like an end-run and could easily open them up to a product-tying suit, 2) that would lose them tons of money, because now they're losing money on their hardware and their devs (because forcing exclusives loses more than half of your potential sales base), and 3) indies wouldn't give a shit, because Steam already exists and in fact could be one of those third-party stores that the EU specifically forced consoles to allow, in this hypothetical.

This wouldn't catch the industry completely flatfooted either, because back in the Windows 8 era Microsoft managed to scare Valve enough that they started investing in Linux as a backstop. The Steam Machines were a flop, but they've since released the Steam Deck to fill the portable console niche, and they've kept working on SteamOS and Big Picture mode to fill the gaming HTPC niche.

Also, you're claiming that Microsoft might buy Unreal Engine or Unity in order to force it to be Xbox-exclusive; that would bring the antitrust hammer down like nothing else. The only result of consequence in the 0.0002ns before the EU carpetbombs Redmond, would be a huge upsurge in suppport for Godot. Godot isn't ready for primetime just yet (especially in 3D) and games can't practically switch engine mid-development, but people are already on edge from Unity's recent "charge per download" (scandal? controversy? worrying incident? whatever you call it.)

Also, there are entire markets where game consoles don't have all that much penetration. China, in particular, who had banned consoles entirely until 2015, and restricted them until at least 2018. Convincing the Chinese market to buy even one console, let alone multiple, is unrealistic and platform holders know it.