It is not about the country but the language. Most llms have poor or no support for Dutch.
As for accessing pii, I imagine the value here is in the fact they're local, which has nothing to do with the "sovereignty" of these models. If anything, a model is more likely to be tricked by a malicious prompt the farther it is from the sota.
Lots of bias towards English sentence structure, idioms, etiquette, etc.