Do I need to cancel my long term research visa before leaving Thailand for my Ph.D. in the EU?

No

I am doubtful you have any Visa at all and instead it is much more likely you have an extension of stay from the immigration office here in Thailand.

In theory you are supposed to cancel extensions of stay at the immigration office that issued the extension before you exit the country

However

Because you're going to be gone for so long and it's unlikely you're going to come back on that type of Visa again I would say you could just exit and not have any issue.

If you can get documentation from the place that applied the documentation for your extension saying you'll stop I would go cancel the extension before you leave.