The term Euro lock pick can be a little misleading but it's one that most of the lock picking community has latched on to. Some European lock manufactures do use a narrower key way. This narrower key way can be very tight work for a standard width pick and a thinner euro pick will give you more maneuverability.
Euro picks are not just for Euro locks
Some key ways no matter where they are made can be very paracentric and a bit of flex helps in positioning your pick. Thinner Euro picks tend to flex a bit more than thicker Standard lock picks. For a wide variety of Euro locks, you are fine with .025 but it is helpful to have a thinner selection. Even though they are called Euro lock picks they can also be very helpful with North American locks.