Well, partially they do. For example when it comes to the Right to be forgotten, there were attempts to apply this also to data which is stored and displayed outside the EU. Only after ECJ ruling (C-507/17) such attempts were stopped.
> For some time Microsoft had EU specific versions of Windows.
Microsoft does have the N (formerly called "Reduced Media") editions of Windows created in response to legal demands from the EU, but these are available worldwide. Other than that it is the same version of Windows, which just behaves differently when it comes to browser choice etc. depending on your location.