Zero-knowledge proofs are only anonymous in theory if you ignore the issue of requiring a third party, and the issue of implementations.

And according to the EU Identity Wallet's documentation, the EU's planned system requires highly invasive age verification to obtain 30 single use, easily trackable tokens that expire after 3 months. It also bans jailbreaking/rooting your device, and requires GooglePlay Services/IOS equivalent be installed to "prevent tampering". You have to blindly trust that the tokens will not be tracked, which is a total no-go for privacy.

These massive privacy issues have all been raised on their Github, and the team behind the wallet have been ignoring them.