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What's so special about specifically the PhD student experience that isn't accessible once you have the PhD?

My experience has been that research became much more fulfilling after finishing my PhD. I got more research independence, the level of work I was expected to do increased, and as a bonus, my salary almost tripled. It was like having the world open up, and starting to really experience being a scientist without my PI protecting me.

I was curious about their decisions because if you're taking on the opportunity cost of a PhD, it's probably because you enjoy research, but if you enjoy research, you wouldn't keep going back to the starting point. So, without additional context, it seemed like they just wanted the credentials.

I think it was also worth asking because universities often want to know why you want another PhD, since from their perspective, spending that funding on someone with no PhD potentially creates a new researcher (vs spending it on an existing researcher). So, if they managed to get into a PhD program again, they probably had a good reason.

Their response about different countries is an explanation (especially from an immigration angle), it's not like I'm asking them to lay out all their personal circumstances behind the decision in detail.

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3 PhDs is quite some dedication to science, given that a PhD student life is neither that of plenty nor leisure.
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Some people do not need to worry about material possessions as much as some others because of the random birth wealth lottery. Then they can pursue interests in less goal driven ways than it would otherwise seem wise
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In many European counties it's easily feasible to just study all your life while working ~20 hours / week. I won no lottery but had no issue spending a decade of my life pursuing interests at universities while working 20-30 / hours a week in a comfortable software dev job.

If I'm paying for "free" education with my tax euros, I might as well use it.

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There are lots of stipends etc. If you don't plan to have kids, and you don't care about luxuries, you will have healthy food and a roof and not be thinking about money. Probably the decision is to forgo luxuries and child raising, and hope you don't need to help a sick relative etc. if you want do to this forever. But it is not impossible in STEM.
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That works as long as you don’t expect to graduate: in many EU nations, higher education students are required to complete at least 60 ECTS credits per year, or lose their study right / enrollment.
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