I think the currency risk is reason enough that this is not a suitable investment for the average Swiss resident. And I guess that many people (or institutions) who want to invest in EUR bonds / money market, will do so using a broker with low currency exchange fees, in which case one might as well trade on an European exchange where liquidity will be higher (and exchange fees lower).
Also keep in mind that there are ETFs traded on SIX that are perfectly suitable for Swiss investors but still have relatively low volume (e.g. VEVE).
If your reasoning for investing in EUR money market is that you anyway will (also) spend EUR in the future, why do you think it’s better to exchange CHF to EUR when selling your EUR ETF instead of already exchanging CHF to EUR now when buying the ETF? I.e., you anyway have to do the exchange at some point, it seems reasonable to me to do this when/before investing in the EUR ETF. You’d likely want a foreign broker for that, though.
Assuming you don’t want to particularly bet on EUR, i.e., we assume the interest rate parity holds for your investment period, it would be better to invest in CHF bonds from a tax perspective. Have you already seen this wiki? Short guide to CHF fixed income options