Anyway, no, I don't really feel threatened by this idea (not sure if Europe is even at risk btw), just as I'm not scared of a terrorist attack. Chances are slim, but if it it happens, it happens and there's nothing you can do about it. Therefore, it's best not to worry about it.
Europe is under just as much threat as any other place that uses electricity.
I look at it like I look at the Yellowstone Caldera and EMP attacks, worst case for any of them, combined with a sh**tty reaction from the powers that be and yeah, we're all hosed. But a more realistic case, combined with a mediocre response from the powers that be and it will just suck for a bit for the affected, but we'll get through.