Applying for scholarship with prospective advisor support, but not taking the scholarship: possible consequences
If you have a definitive plan in Europe, then there is no problem rejecting the opportunity in Japan, it should be ok as long as everyone gets notified. The advisor may be get annoyed briefly, but they will soon not think about it (especially famous professors) as they have many things on their mind.

I am actually in a similar position right now in which I might decline a potential JSPS fellowship.