Hi @sfermigier,
Well this question is the actual issue here: GLS, the german bank in charge of integrating TALER payments in €, is not willing to perform the extensive studies about the regulatory constraints in each country of the eurozone but only in their own country. They are trying to engage their network of likeminded banks to do so and hopefully run an Exchange in each of their countries.
It would first require to set up an Exchange (doesn’t necessarily have to be a bank, it’s just easier for banks since they already have KYC, AML compliance processes running) before anyone can operate a Merchant in those countries. For more insights about those issues, @natacha has made a very instructive summary a few months ago: What is an Exchange, Banking and Exchanges interrogations.
If someone is really into setting up an Exchange for GNU Taler payments, they should definitely get in touch with @LeoW who can answer more precisely about the banking issues.