As a game developer from SEA planning on selling my games, during the filling up of payout,  is it necessary to collecting the billing addresses from EU buyers? What must I be concerned about as an indie developer about VAT?

If you want something with as little trouble as possible, why not let Itch collect and process payments for you? That way they take care of taxes and VAT, and you only have to declare your income in your country.

You only have to pay VAT if you are handling the payments yourself (Itch gives you that option somewhere).