The problem is not really the buying of sets only released in Europe- just ask and someone (me for example) will buy you any PM sets you want. The problem is the cost of US import/export charges which tend to dampen one's enthusiasm, as well as the affordability. For example, I have given up looking at things on US eBay because the shipping costs to UK are always eye-watering!
Korean exclusives might be easier to get hold of if we knew someone who lives there, or visits regularly.
Edit: Article 1 of the US constitution prohibits exports duties (I just read), so it must be high shipping costs which make US exports expensive.