I have never seen lard French pastries,(and I have professional baking manuals from France and there is no mention of it) and I've never seen it in Italy. but margerine is (after all they invented the stuff).
Most pastries from a good bakery are going to be made with butter they will say or you can ask. Tart shells are almost always made with butter. Poorer bakeries will produce with margerine.
Danish is more of an American thing. But in anycase it has eggs in it and most pastries will have either an egg or milk wash on it.
Standard bread will be just flour, water, yeast, and maybe some sugar. (Unless it is a specialty bread)
I have lived and worked(cooked) in Italy and France fo many years, very often for vegetarian/or vegan clients. I have never found a problem. Sourcing ingredients or eating out. Vegism more common than people realize. Most vendors and waiters are very clear and helpful. Most store packaged items are in several languages. (it wouldn't hurt to learn a few key phrases in each language).
One thing to note, many Europeans don't consider fish to be meat. Very often fish (and eggs) are used as flavoring in savory items like dressings and spreads. Also if you eat in finer restaurants (which is fine for a vegetarian) make sure you tell them you are not just order the vegetable course. Many times in cooking pork fat and duck fat are used for sides and vegetabls. However each time I've asked they have accomodated or found a solution for me.
One thing to note, a difference you will find in Europe is that people are very proud of the ingredients used in their products, rarely do they try to sneak in something. Not to mention the EU has stricter laws regarding things like that.
There are plenty of co-ops and health food stores.