I can't give an absolute answer as to why euro diesels use thinner oil, but I do know that many don't.

Possible reasons for thinner oil?

European diesel fuel is magnitudes better than our diesel fuel. This results in cleaner oil.

The passenger car diesel engines are not in the same class as our engines. They are light duty diesels designed to run like gasoline engines. They don't need the same kind of protection that a medium or heavy duty diesel engine needs.

In any case those engines are designed to run on the lighter oil... ours aren't.