Why don't Christians believe that God set up His Kingdom on earth during Daniel 2's 10 EU nations ? What else fits the prophesy best ?

Because he already set it up in 1830, when the kingdoms that replaced Rome still mostly existed.

Scripture says that the answer is Col. 1:13.

CUZ THAT IS A FUTURE EVENT...

All prophecies MUST acknowledge the two existing systems. One is irrecoverably evil and the other is irreversibly good. 'Nations' as we define them are an intermingling of both because Christians are present there. The moment the last 'righteous' person leaves a nation, GOD destroys it. The fact that they are still standing informs us that the righteous still dwell there.

So when scripture speaks of 'ten kingdoms' serving only evil, it can not be speaking of nations as we define them. They must be 'ideological tribes' joined by a common evil vision and existing inside various nations alongside the righteous but separated from them by their evil activities and structures.

One example would be 'atheistic science' which can be found everywhere but which represents no particular nation. There are 'ten' distinct world powers contributing to this vision, each coming from the ten most prominent cultures on earth. The Europeans are just among them. 

The vision itself is called 'antichrist,' (1 John 2:18-23, 4:3, 2 John 1:7), which is not actually a comic book super villain. 'He' is how GOD describes the 'fugitive science' which claims superiority over all previous systems of worship and denies the existence of all 'gods' and even GOD Himself, just as scripture predicted 'he' would. 

The ten greatest military systems in world history currently back 'his' viewpoint, but even they are not exclusively 'his' either. Only separate 'elements' within them are showing loyalty to that vision, most of which operate as legally sanctioned but clandestine services. They have 'academic' counterparts operating similarly.  

Scripture describes them 'ruling' only their own with exclusive power, just as Christ exclusively rules His Own. So we are left with only 'Christ' and 'antichrist.' The proverbial 'sheep' and the 'goats.'

Because trying to arrange reality to fit a religion is bass ackwards....

Gods are fictional.  Nobody has ever proven otherwise.