That is why.
Quick one!
Collections and achievements are connected to a A CHARACTER. You already answered the question; Since they don’t do the one, they don’t do the other. Even in the same server world (USA, or whatever), they are connected to the character.
People have even ran into this in the SAME region, when they wanted to transfer a minor child’s character to a new account. The collections, achievements and so forth which the main character got on the Parent account, do not transfer with that transferring character to a new account.
Items in the Collections tab are account-bound, and will not transfer to a different Blizzard account. Pets or mounts associated with a character-specific achievement will transfer, but only for the character that unlocked the achievement.
Character-specific achievements will transfer to the new account, but most other achievements won’t.
So, let me give an example. Let us suppose that it is the CHILD who is the busy beaver, having unlocked lots of “glory of the _______raider” mounts and such. So the Parent has also been enjoying this “inflated” mount number, with lots of cool mounts! So if the character that is though to to be “the child’s” is moved to a new account, which fully becomes that child’s (at 18/whatever) then the Parent will notice a dwindling of mount numbers; The child would see the same, for any things specifically gained by the Parent’s character.
Again, that would be with a character being moved to another account IN THE USA/on USA servers (or in Europe/to a new account on European servers.) Even then, full collections don’t go.
EU and US Wow accounts are completely separate. Nothing transfers. Mentioning other little Blizzard games where things do, is moot.
You don’t mention the issue, but if I had to move to Europe I’d sure as heck still play this Wow account with my characters; It would never be worth starting over, I’d just accept the bad ping (if there was one.)