@Peder Holdgaard Pedersen Welcome to Microsoft Q&A Forum, Thank you for posting your query here!
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Below highlighted regions shows where the gpt-4o model is available, currently in US regions:
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Unfortunately, there is no ETA, I can share on when this model will be available to deploy in Europe regions
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Suggestion:
Please refer the below region availability which Microsoft keeps updating whenever there is any new improvements
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On a side note:
I understand your concern about your compliance and regulatory reason, Please refer this article which provides details regarding how data provided by you to the Azure OpenAI service is processed, used, and stored.
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Hope this helps. If you have any follow-up questions, please let me know. I would be happy to help.