ATM: The exact conversions I cannot tell, it always depends on bank, the amount and the current rate. AED - USD conversions are cheap, because the AED is pegged to the USD. Gonverting to the EUR will be a bit more costly. I would say 1-3% in total, but this should be verified.
Note that the cards are in AED, but you can have a bank account in EUR and USD.
Prepaid card: there are cards out there that you can charge by wiring an amount in Euros to them. And then just taking it out of the wall. But there is a cost to these cards which is likely higher than taking the conversion when you are even talking about modest amounts.
Exchange of information: I spoke to the head of the AML department of the UAE central bank. Information IS being exchanged already under certain conditions. And it is likely there will be much more transparancy in the future. I wrote about that here: https://theglobalcitizen.co/oecd-anti-money-laundering/
It is easy to set up company with an account and the French government not knowing. But you will create what is called black money and this may come back to bite you in the future. 5-10 years ago you could walk into a Swiss and Luxembourg bank with a bag of money and no questions would be asked, and no-one could find out. Now these countries signed up for automatic exchange of information and all those clients are being kicked out and do not know what to do with their money. Some get into serious trouble.
In the end, you will earn much more in life when you focus on running your business, instead of running for the tax-man.
Those are just my two silver coins...