mysqldump collation issues
"displayed incorrectly" -- That does not necessarily mean that the text is stored incorrectly.  How many steps do you have here?

You have data in a WP database?  Please provide SHOW CREATE TABLE for one of the tables so we can verify whether it is latin1 or utf8.  Also, do SELECT col, HEX(col) to see what you have in the table for €.  For utf8, the hex should be E282AC.  As you pointed out, it cannot be stored in latin1.  If you don't see that hex, stop; we need to debug things before this point.  Else continue...

Then you are doing a dump?  Let mysqldump specify the CHARACTER SET (not COLLATION).

Take a peek at the dump file.  Well, this may be useless, because it depends on what tool you use to peek at it.

Then you are reloading the data?  After reloading, what does the hex say?  Again, stop if it is not that same hex.

Now you are running WP and trying to display stuff.  On a web page?  Look at the HTML; there should be a &lt;meta... &gt; tag very near the start.  What does it say?  In particular, does it say charset=UTF-8?

One more thing to check is the SET NAMES utf8 (or equivalent) -- phpmyadmin establishes the CHARACTER SET one place; find it.  And find it for WP.