So, a few things in here to respond to:
On x-default, ideally you want this on both "sites", but it would be the same value. Meaning, you are telling Google that if a search visitor is in the US, serve the US page as a result, if the visitor is in the UK, serve the UK page as a result, and if that visitor is in any other location (one you don't have tags for) then serve the page linked in the x-default tag. So, on both sites, it would have the same value. Wherever you want to send the traffic from any country/language not specified in your hreflang tags.
On the EU tags, there's not a "penalty". There's just no "Europe" locale. Since you need to specify valid locales, the only way I know of to scope "Europe" is to include all the locales (or at least the most popular ones. I generally add the primary language for each country, a few languages for countries such as Belgium, and sometime I add en-[country] for all of them if my EU site is in English only.
Also on the EU tags, you should not remove the EU tags and only tag the US site. Tags will all be ignored unless they are reciprocal.
Lastly, on the redirect. There are several approaches. But if the Google bot tries to index your UK site from a server in the US, and gets auto-redirected, that's not a good thing. One approach is to make the auto-redirect "soft", meaning instead of automatically redirecting, present a dialog asking the visitor whether they want to visit the page they requested, or to instead be redirected to the one suggested for their geographic location. This is also a better user experience for several scenarios like when employees may be using a corporate VPN which is located in another country (like their international headquarters for example), or for when people live near country borders. Yes, you want to treat Google the same way as a person, which is why the "soft" redirect approach has become somewhat of a standard. There are other approaches, like having an international "splash" page, and also yet more approaches. I tend to favor the dialog approach.