This reminds me of some ads I saw sometime in the 1984-87 time frame. Prior to the release of Slide It In, Whitesnake was not particularly well known in the U.S. "Slide It In," "Slow and Easy" and "Love Ain't No Stranger" were minor hits, but Whitesnake was still an opening band (for the likes of Quiet Riot and Dio). If I recall correctly, the ads were promoting Slide It In and a couple of the earlier albums. The gist of the ads was something like the following: "In Europe, bands like Dio and Quiet Riot open for Whitesnake, not the other way around, so you should check out Whitesnake's back catalog."
The point: shit be different in the U.S. and Europe.
As far as VH "never [having] put much effort to conquer Europe and the world in general," readily available concert statistics seem to bear that out, so it probably shouldn't come as too much of a surprise that, by 1995, when VH's popularity even in the U.S. was waning, VH was an opening act in Europe. Therefore, I don't imagine they regarded it as a "shame."