It is apparently sometimes cultivated in Europe, though whether the plants are correctly named I have no idea but I can find no reference to it occurring as naturalized. Two other Waldsteinia species are native in parts of Europe and are cultivated and naturalized beyond their native range so there could well be confusion with them going on here.
EDIT - A specimen from Wiltshire, UK was found in 1974 and identified as W. fragarioides by the British Museum. Presumably a short-lived garden escape.