King Haakon VII of Norway was present in active combat zones during the German invasion of Norway in 1940.
King Michael I of Romania was head of state and the official military commander in chief of Romania from 1940 to 1944, although he did not direct the fighting. In 1944 he staged an armed coup, ousting military dictator Ion Antonescu. If you consider that action to be a battle, he might qualify as the last actual European king to fight in battle.