How to play Sengoku Basara 4 Sumeragi on PS4 in Europe (Japan Import Games)?

I have bought Sengoku Basara 4 Sumeragi (Japan Import Game) as physical CD on Amazon for PS4 and I cannot start the game.
I am going to describe my problem further:

If I start the game two japanese questions pop up. I have translated both with a photo translator and the first one says something like import data from PS3 Account (because there is also a PS3 version and I guess it is possible to load data from Sengoku Basara 4, because Sumeragi is an extended version) and the second says to load the data for Sengoku Basara 4 Sumeragi.
After answering the second question the first one pops up again and I cannot get over the second question. The questions are showing up again in a loop and no download for data is going to start.

My first thought was that maybe it is because of my location (Germany), so I tried to connect my PS4 Pro with my PC and start a VPN, but it did not work because of timeout by connecting PS4 with VPN.

I have also created a Japanese PSN account but that did not work as well.

I have seen some British and American youtubers played the game, but they did not seem to have struggled with similar problems.

Do I need a router with VPN functions? Or do I need the previous version Sengoku Basara 4 for PS3 to import game data from?

Did someone struggle with similar problems with this game or another? Any suggestions?

I would be grateful for any help! 🙂