Even if the batteries are in the unit, if it is shipped via Post, there are limits on both the number of cell (3), and the size of the cells (I am pretty sure these are in fact over the limit). The only work around is to use a carrier who is licensed to carry hazardous goods. The only one I know of is in fact FedEx. In order to use FedEx however, you must be registered as a Hazardous Goods shipped, and it isn't cheap. Having said that, the shipping problem is considerable, but it certain is not impossible, and it WILL be expensive. I am not aware of any relevant export regulations involved lighting equipment to a COCOM country, and I used to deal with dual use exports for a living (I was an adviser to two Presidents on these matters), so I do know a fair amount about US export law. Belgium is a NATO/Cocom country if memory serves me, which means it is generally exempt from most of the restrictions, even if they do exist. As others have pointed out, It is more likely that the sell just don't want to through with the transaction at that price.
Your other choice is to tell the shipper to ship without batteries, and then there are NO restrictions on the shipment.