I don't know about any such EU-wide store. The small local hardware store near me is great for common things like M3+ screws, but understandably doesn't stock

I don't know about any such EU-wide store. The small local hardware store near me is great for common things like M3+ screws, but understandably doesn't stock slightly exotic items like M1.6 threaded inserts. There's larger e-shops that sell those, though I can't speak to the markup. Larger parts are generally easier to find.