Ensuring data quality in machine learning (ML) systems has become increasingly complex as regulatory requirements expand. In the European Union (EU), frameworks such as the General Data Protection Regulation (GDPR) and the Artificial Intelligence Act (AI Act) articulate data quality requirements that closely parallel technical concerns in ML practice, while also extending to legal obligations related to accountability, risk management, and human rights protection. This paper presents a qualitative interview study with EU-based data practitioners working on ML systems in regulated contexts. Through semi-structured interviews, we investigate how practitioners interpret regulatory-aligned data quality, the challenges they encounter, and the supports they identify as necessary. Our findings reveal persistent gaps between legal principles and engineering workflows, fragmentation across data pipelines, limitations of existing tools, unclear responsibility boundaries between technical and legal teams, and a tendency toward reactive, audit-driven quality practices. We also identify practitioners' needs for compliance-aware tooling, clearer governance structures, and cultural shifts toward proactive data governance.