Won't the sim card that you order in the mail ahead of time have to be activated on arrival in Europe in a mobile phone store anyway?
Not always - depends on what country the SIM card came from. Every country has different regulations pertaining to how SIM cards can be activated. Some European countries like the UK and the Netherlands do not require in-country activation.
In this case, we are talking about the Orange Holiday SIM which is a French SIM card. Technically, you DO need to register a French SIM card with a passport to activate it. But it seems that this one on Amazon is allowed some sort of two week waiver: it's good for two weeks without registering it, but to keep using it beyond that (top it up with credit), then yes, one would have to register it with passport, etc. But even then, it seems doing it in-person may not be required. Again, not sure how Orange gets around the registration requirement. I assume most people use it only for two weeks and that's it.
I bought my Dutch Vodafone SIM on eBay last year and have used it in Slovenia, Italy, France, Spain, and Portugal over two trips. Haven't used it in the Netherlands yet! I activated it and topped it up at home in the US, using my US credit card on Vodafone's website.