Ask YC: How do payment gateway users collect VAT?
Because they're acting as resellers, Ecommerce vendors like Plimus and Avangate are responsible for collecting VAT for EU consumers who don't have a valid VAT ID for electronically delivered products. Per http://www.avangate.com/articles/software-vat-123.htm : "Private customers (consumers) in EU countries must be charged VAT for electronically supplied services and products, both by EU and non-EU providers."
Collecting VAT yourself would be quite a headache: "...non-EU sellers have to ... pay the specific member state tax authorities (all 27 of them) their respective VAT..." (http://tinyurl.com/pgnvpb). The revenue threshold for being required to collect VAT can be quite low: "Denmark, for example, taxes all traders with an annual turnover of $1,600" (annual revenue of $1,600 from Denmark I assume). (http://www.taxpolicycenter.org/taxtopics/encyclopedia/VAT.cfm)