The EU still allows transfering data to other third countries if suitable protections can be effectively put in place, whether through some governmentally agreed program like what Privacy Shield tried to do or through Standard Contractual Clauses. They simply view the laws in the US as too hostile to most of their residents' data privacy rights. ("Most" instead of "all" because US citizens have more protections under US law even when living in Europe.)

So, while sure it is a kind of border, it's a "privacy-protected vs privacy-dangerous" border rather than a blanket "us vs them" border. Or, phrased another way, it's not a border as a goal, but rather preventing the nature of the internet from overriding their separate privacy goal. I am fine with that attitude.