(One example — I'm sure there will be plenty more as the site matures.)
No they should definitely not be synonyms. I'm travelling around Europe right now and any day now will step outside the EU but still be in Europe when I head from Bulgaria to Serbia or the Republic of Macedonia or Albania. Also even Switzerland (and its neighbour Lichtenstein) are not in the EU and it is pretty important even you feel you can discount the developing countries.
Three are several important overlapping entities: Europe geographically, Europe politically and/or culturally, the European Union, and also Schengen.
It's fine to use one tag for the first two but the last two must be separate because they involve difference of high importance for travellers, including what paperwork and even visas might be needed.
Europe is a so blurry entity that one should always clearly state what it represents for his/her point of view:
- money (Euroland)
- visa (Schengen)
- geography (from Atlantic to Ural)
- history and religion
- geopolitic (NATO)
- sport and culture (UEFA, Eurovision song contest)
Even European Union (EU) may not be accurate depending on the question.