I am trying to use the webhook to trigger the conversion done event. However, it does not seem to work as expected. My buckets are located in EU, do I need to have a different URL for setting the Webhook in EU? Something like https://developer.api.autodesk.com/modelderivative/v2/regions/eu/ ...?
All three, Data Management, Model Derivative, and Webhooks deal with regions. See https://forge.autodesk.com/blog/data-management-and-model-derivative-regions
When creating a webhook, you need to specify the region there too (unless going with the default US) using the x-ads-region header: https://forge.autodesk.com/en/docs/webhooks/v1/reference/http/systems-system-events-event-hooks-POST/#headers
So, create a webhook for EU if that's the region you are using for the Model Derivative service.