Save your code and try the following code :
RewriteEngine On
RewriteCond %{REQUEST_FILENAME} !-f
RewriteCond %{REQUEST_FILENAME} !-d
RewriteCond %{REQUEST_URI} (eu)+
#the line above will catch any request contains eu
RewriteRule ^(.*)$ /errors/eu_error404.php
RewriteCond %{REQUEST_FILENAME} !-f
RewriteCond %{REQUEST_FILENAME} !-d
RewriteCond %{REQUEST_URI} !(eu)+
#the line above will exclude any request contains eu
RewriteRule ^(.*)$ /errors/error404.php
Update
If you wanna only the request that start with eu change the code as follow :
RewriteEngine On
RewriteCond %{REQUEST_FILENAME} !-f
RewriteCond %{REQUEST_FILENAME} !-d
RewriteCond %{REQUEST_URI} ^/eu
#the line above will catch any request starts with eu
RewriteRule ^(.*)$ /errors/eu_error404.php
RewriteCond %{REQUEST_FILENAME} !-f
RewriteCond %{REQUEST_FILENAME} !-d
RewriteCond %{REQUEST_URI} !^/eu
#the line above will exclude any request starts with eu
RewriteRule ^(.*)$ /errors/error404.php
And regarding your question is that affect the SEO , it is not SEO issue but user experience issue , for example if you have old pages and users still requested and you redirect them for irrelevant page that will give them bad so the best way to handle it with alternative pages , regarding the search engines the 404 when it comes from any request will be on hold then removed after many request but more 404 is not good in some situation so , it depends in your expected error pages , are they already indexed before and it is better to redirect them for related pages or just wrong request and you wanna guide users to right way but believe the wrong request will not be more than correct in normal practice so it is not issue to redirect them to page that explain their mistake and guide them to correct page etc..