Maybe not in EU but is used for CIS countries and other regions, and it is not just currency conversion.

I heard people buy those cheaper games and activate using VPN which will be dealt with sooner or later I suppose. If you really really stretch it, can go as far as tax evasion I suppose as you virtually "import" a good into EU and don't pay VAT which you are supposed to pay here but no in other regions.

Buying in the cheaper store is the desired rational behaviour of a customer in free market capitalism. Why do you want to block that? Who does it benefit?

Because if most people do it they wont offer it for the lower price anymore they will just sent one profit maximizing price.

If its something few people do then those few can profit maximally from being savvy by paying poor nation prices on games while enjoying the benefits of being citizens of rich nation.

Well you can't just "not do it anymore" in those countries, might as well close shop there.

Imagine prices of games would increase 3 times, i.e. one 60$ AAA game would cost 180$. It would be the equivalent raising prices to us/eu level in those countries.

There will be a fraction of people able to buy it and you will get gray/black market with dvds or flash drives where you would get a bootleg copy or just piracy.

Piracy is only feasible for offline and single player games. I suspect that even at $180, there's going to be plenty of affluent consumers buying it.