Note that what the EU is requesting is for OpenAI to disclose information, nobody says (yet?) that they can't use copyrighted material, what they are asking is for OpenAI to be transparent with sharing the training method, and what material is being used.

The problem seems to be that OpenAI doesn't want to be "Open" anymore.

In March, Open AI co-founder Ilya Sutskever told The Verge that the company had been wrong to disclose so much in the past, and that keeping information like training methods and data sources secret was necessary to stop its work being copied by rivals.

Of couse, disclosing openly what materials are being used for training might leave them open for lawsuits, but whether or not it's legal to use copyrighted material for training is something that is still in the air, so it's a risk either way, whether they disclose it or not.