Is it possible to compare EURO-CORDEX regional datasets with other regional CORDEX datasets (if I have understood correctly, CORDEX have developed RCMs for each region, e.g. Africa)?

Yes we can compare for the overlapping regions. However note that the RCMs are usually the same when used in Europe or over other CORDEX domains. The models are not strongly modified when transfer to another region. So the same models are then used for running simulations over different regions