>Does it really take that much of a leap of logic that if EU person sends data to a person in the US, that data is going to be stored on a server in the US?

Yeah, it does. A person in the US is not a server in the US. It's an iPhone in the US, not a server.

Does it really take that much of a leap of logic to understand that the server doesn't have to be on the same continent as the user?

That's not at all how it works. You're arguing against points where your understanding of the related technology is poor.