That's interesting. Especially that your local CAA demanded (or the avionics shop demanded) roll steering.
There were "easy" avenues years ago, before the powers to be got their heads around it. I know somebody on the N-reg who got PRNAV approval from the FAA by basically burying them with documents on how well equipped his aircraft is and how experienced a pilot he is, courses attended, ect (AIUI). Today, the FAA process is not hard and I know of somebody who claims he can arrange it for $600 - provided you have the correct equipment installed. There are claims going around that the FAA requires course pointer auto-slew (which is not the same as roll steering but the end result is similar for autopilot operation) but I now gather that is not true.
The FAA gives automatic PRNAV approval to all aircraft which are IFR approved (e.g. for flying GPS approaches) which makes completely logical sense since PRNAV is RNP1.0 (IIRC) whereas GPS/RNAV approaches are RNP0.3, but this is not valid in EU airspace, in which the air is different (it's thinner) so the airplanes fly less accurately due to the higher AoA.
EASA is something else. It's a Major Mod allright but I don't know the details.
Incidentally, why did you go for the approval?