Emile I've asked KLM to have a look at the DNB-article about IBAN-discrimination. Their answer: it only applies to payments, not to refunds.
Small note: A refund is a "payment" just as well. And legislation against IBAN discrimination applies whether you pay to KLM or KLM in reverse to you. Though in this case it might not be explicitly covered by the EU regulation, as the discrimination seems not to be on the basic of country but rather bank.
I guess someone in KLM customer support slipped up by disclosing this "Embargo list". I can not imagine them being authorized to tell you verbatim.
Sad truth is, being a retail bank that is...
1. a new upstart
2. pan-European focused (as opposed to banks solely focusing on the domestic market) and
3. allowing account opening remotely
...bunq seems to be perceived as a higher-risk bank and less trusted than competitors. We've seen this with SEPA Instant discrimination by German banks before.
Glad that you complained to the supervising authority in the Netherlands!