With which rockets does the EU intend to set up the colony?
The research facility in the article is operated by the ESA and the DLR (the German space agency), not the European Union. The member states overlap but are nonetheless different; the UK is a member of the ESA but not the EU, for instance. That said, the EU and the ESA do work together on some things[1].
As for future lunar missions, the ESA doesn't yet have any one rocket powerful enough to facilitate a manned mission to the Moon. The third stage of NASA's Saturn V had a mass of about 90 tonnes in Earth orbit prior to going to the Moon[2]; the ESA's most powerful rocket, Ariane 64, can only lift about 20 tonnes into orbit[3]. A modern lunar lander could be much lighter than the Apollo-era equipment was, but this would be a relatively minor factor compared to the mass of the fuel. The ESA could of course launch a mission to the Moon with four or five Ariane 64 rockets, assembling the full lunar spacecraft in Earth orbit.
[1]: https://www.esa.int/About_Us/Corporate_news/ESA_and_the_EU
>European astronauts will train inside the unique simulator and test equipment that will one day travel to the Moon -- including potentially on NASA's upcoming Artemis programme, which plans to send humans there on a mission in a few years.