I've lived there for 18 years, it's not a utopia-nor a dystopia, for most people- it's like any other country in the gulf really, and a European won't find life easy there, trust me, stay where you are and form a Muslim community, that way you'll have the benefits of living in a modern state plus an Islamic environment.
the first Muslims were being persecuted-tortured and outright killed at times if they announced their religion or openly practiced it, there's no comparison whatsoever between them and anyone in your situation brother, unless I missed something and the German government is now instituting an inquisition..
never listen to those who haven't been there already,especially if they start talking about 'hijra', this is a sign of over zealousness and passion, not logic and rational thought.
again, the average western born and raised will find it extremely difficult to live anywhere outside of 'the west' or a sufficiently westernized place, this is about culture and norms not religion.
Islam is a world religion, meant for all peoples, and it does not instruct us to leave our homes and flea on the first sign of discomfort, yes there is much fear and xenophobia, but do you really think the best solution is for any and every Muslim to up and leave? that is exactly giving in to the bigots and xenophobes, and in fact would create even more of them.
my suggestion for you is to stay where you are, learn more of your religion and strive to practice it to the best of your ability, learn something useful and to you and your fellow humans, get a steady job, and one day make a family, that is the solution, not going to KSA or an other country for that matter.