Welcome to the community, @Gustavo100 !
That’s probably the best way to do it if you’re going to use a multiple select field.
However, a more straightforward approach might be to use a linked record field instead of a multiple select field.
To do this, you would create another table that lists all of your countries with their associated continent.
Then, back in your first table, you would create a linked record field (instead of your multiple select field) where you would choose all the associated countries.
Then, you would create a rollup field based on that linked record field which shows you all the linked continents. For your rollup field formula, you would want to use ARRAYUNIQUE(values) to only show you the unique continents that you’ve linked to.
If you only need to see Europe, you could setup a condition on that rollup field to only show you values when the continent is Europe. Otherwise, you could create another formula field to display what you want to see. (You could probably even create the formula within the rollup itself, but it’s a little trickier to do it there because it doesn’t guide you through the creation of the formula.)