I guess I'm just not a nationalist so I really don't care that Team Europe isn't a country or whatever. "My country's team won the Hockey World Cup - it's the proudest day of my life," said no one ever.
You don't need to be a nationalist to enjoy international tournaments.
I cannot exclude that international matches are often an occasion for actual "nationalist" (the worst meaning of the term) to roam around claiming that their country is better than the others, but for most of the people international tournaments is just enjoying watching a team that means something to you.
I am not paritucularly proud of being swiss, for example, the place I was born in and the family/society that raised me is not coming from an active choice, is just pure chance.
You will never see me goin around with a swiss flag tattoed on my arm, babbling around about "swiss pride" or any other "nationalistic" concept.
Yet again, I love to watch and support Team Switzerland, because I fell related to it. The same way I support FC interanzionale, because Milan is the town where I was born and I feel a connection to the team.
I really do not enjoy watching matches between two random teams that means nothing to me, it is just boring and feels pointless*.
Ok, if in a pub with friends I can very well enjoy a Fin vs USA match for example, just for the sake of good hockey level, but I would never tune on it in my living room, I would always find something better to do.
*Except for one occasion, the South Africa - Japan match (won by Japan) at the last Rugby World Cup. That was the singular most entertaining and amazing moment of sport that I can remember through my whole life.
...and of course that match would have never taken place if the Rugby international federations decided to act like the NHL, because Japan would have not been there, replaced by some "pacific islands minus Fiji and New Zealand all star team".