I do the same thing. This is how I've handled it.
My novel is set in a variety of places and my aim is to use real places when feasible and realistic places when not.
By coincidence, I also have a need for a central European train station, though one less modern and different from yours. I had the station I needed in my head then looked for a real one to fit it.
- In a city in Germany and present in 1939.
- A transportation hub (reasonable for someone to use to travel internationally).
- A lit walkway leading up to it.
- A station that was a building (many train stations are just platforms open to the surrounding area) with areas to stand around outside it.
- A real platform for saying goodbye.
It turns out that the Berlin Zoologischer Garten railway station meets all my needs. Mind you, I never name the station, though I do have this character hail from Berlin.
Did I need to find this station? Nope. All I needed in my research was to know that the station was possible. For example, maybe in the time period and location I needed, platforms looked very different. Then I'd alter things. But they don't.
For locations I use more extensively, I find it easier to make them up. The first 1/3 of my novel takes place in a small town in Northern Arizona. I chose to create the town instead of using an existing one, in large part because no existing town met my needs. My research helped me know that every element of my town was one that existed in the area and that it was completely plausible for my town to exist as written.
I talk about the town creation process at length in another answer, but here's an excerpt:
Because my town is fictional, I'm free to use whatever features I want
that fit my story. For example, it's very important to the story that
I have a lake that is a particular size and shape with a small beach
and a dock. I could alter it some if needed but, one, I don't want to
and, two, not by much. There is no town near a lake that fits my needs
in the area (even if I expand the area quite a bit). But there are
plenty of towns similar to what I have and plenty of lakes that are
close to what I'm looking for. The town/lake I need is completely
plausible, it just doesn't actually exist.
I also get to set up the school how I want, the neighborhoods, and the
businesses/services that do and don't exist in town. Not to mention
some important historical events that are, again, very plausible, they
just didn't happen here.
The answer to your question is: Yes.
Yes do exhaustive research.
Yes take artistic license.
It's the combination of the two that will make your setting work perfectly within your story.