The EU law here applies to Apple, not to you. Apple remains in the EU for as long as they have entities in the EU or operate in the EU. Thus Apple must follow EU law for as long as they have not exited the EU market completely.
Apple devices that are within the EU laws jurisdiction does have access to third-party stores..
apple devices that moved to another jurisdiction are no longer subject to EU laws and therefore no longer have access to third-party stores.
The big question i have is if i with my non-EU iPhone will have access to third-party stores as soon as i step into EU, even if i do not live in EU and i am not a EU citizen.
the second you step out of EU, EU laws stop applying to you and the laws from whatever country you are in the moment start applying.