It's a lot more complex to distribute a product in Europe than in North America. In Europe you have tons of different packaging in various languages, different regulations for each country, lots of different retailers to deal with, different power plugs to manufacture, etc.
Also, the US is the market Sony needs to win back over. Not Europe, and not Japan. The PS4 will do fine there. But I'm sure Sony is doing everything it can to take back the US market.
Distributing on EU only needs one certification process for all members. This has been discussed already and a gaffer who deals with this stuff cleared this out.
Packaging and language are really not and issue. Language translation is done by third parties and they can deliver the required translation on a matter of weeks on different languages.
I might be mistaken on this one, but outside the UK didn't most continental EU countries had compatible power plugs?
Anyway, the point I'm trying to make is that distributing on the EU across different countries is nowhere as hard as most people think it is.
With that said, I think Sony should prioritize the US market above all others considering it is the one they are doing worse, and the fact that it is the biggest market worldwide.
I'd argue that it would be better to launch on the EU than on Japan first.