Not true. I found that simply using the PIN for my U.S.-issued Capital One Visa worked just fine. (Every U.S.-based credit card I've ever used has had a PIN, supposedly to be used for cash advances, but the charges I made in Europe were processed as charges, not as cash advances.)

After several days of asking hotels to have my card processed with a signature, I tried using the PIN at the urging of a ticket agent in Copenhagen, and lo and behold, it worked. From then on, I used the PIN in two other countries with no problems.