Yesteday, I had the opportunity to speak to someone from TLC and the person explains me nicely why Lego were cheaper in the USA than in Euorpe.
She confirms that the main reason was taxes, and I replied that this couldn't explain everything. She added then that the USA has their own factories (so US lego are not produced in Billund) so they don't need to care about taxes or currencies. Since Denmark is not in the monetary union yet, this ads costs to the price.
She also told me (but not loudly) that producing lego in the usa was cheaper than producing those in europe
This is it
She also confirmed that Lego gives all the product the same prices at the end of the factory and then apply all the costs to the model.
This explaination is quite good, but it doesn't convince me completely... So I have to investigate more :D