"They are European."
Translation:Elles sont européennes.
French and English don't have the same rules on capitalization. In this case, English capitalizes nationalities (or whatever continent names would be called)--she is French, they are European--but French does not--elle est française, ils sont européens. Other differences include things like days of the week: Monday, Tuesday, etc. as opposed to lundi, mardi, etc.
There seems to be a problem here. "They are Europeans" and "They are European" are two different sentences: The translation given is for the former. The latter sentence has a meaning of the group as a whole is European. For example, how would one translate "Volkswagen and Renault are European"?