The EU visa code Article 16 says students do not need to pay for visas in the EU. The important bits:
UPDATE 21 Aug 2016: The Erasmus Mundus contract for this programme is incredibly disempowering. If you get into any sort of trial with the university, you are dropped from your scholarship and programme. You might think this is not important. But, consider this: at least one of the universities trusts plagiarism-checking software so much that they expelled one of my cohort without double-checking the paper with their own brains. There was no possibility of appeal within the university, the student unions are weak and powerless, and there is no other avenue for help. I will try to write more about this and related matters in future. It is complicated.
UPDATE 29 July 2016: Roommate in Aalborg is the best Facebook group for accommodation, but scammers do exist on it, as they do on the others:
Other than the Buhl Centre and the Second-Hand Laden d Caritas at Sankt-Paul-Gasse 12, 3500 Krems an der Donau, there is a handy online site you can use to get second-hand stuff in Vienna, Krems and probably also other parts of Austria. It's called Willhaben.