But then for those of us not in the EU, Facebook et al suddenly have access to a plethora of data they didn’t have before via side loading thanks to a European law.
No need to worry. EU laws concerning iOS only apply to products sold within the EU. Apple is within their rights to keep their operating system locked down outside the EU, and all recent reports indicate that this is exactly what they'll do. So unless your country decides to pass similar legislation, you're free to enjoy Apple's restrictions.
And so your concern is because of... the EU, and not your own politicians for failing to regulate a completely out of control corporation running psychological experiments on users without their consent ?