gopher you are misunderstanding basic principles here.
The EU is NOT a democratic state, but a union, created through multilateral contracts, OF democratic states. This setup leads to voters participating democratically in the direction that the EU is taking indirectly through their governments (which they voted for).
So much for the legislative branch. On the judicative branch, we get a wholly different picture in which any EU state, citizen or entity can apply to the EU court in case their rights have been infringed.
The executive is mostly in the hands of the (democratic) member states themselves, who execute the EU legislation.
I am also not happy about the current state of affairs concerning the confusing multitude of institutions and levels of power within this structure, but since this framework exists since roughly 30 years, I am impressed with the progress that has been made to achieve common goals by this multitude of states in the timespan of a mere generation.
Hopefully we can come to a even better centralised and directly democratic form of EU government in the coming one or two genereations. During or after the current crisis that we live through might be a good moment.
Maybe even guarantee future peace between Russia and Ukraine by getting both of them into the EU? Would require a lot of convincing within the the EU, especially the eastern members, the US and China, but might solve some underlying issues, kind of as it did between the western European states after WWII.
Would also make Russia the new numerically biggest member state, which would be unacceptable in the current climate, so might be only possible if Russia splits up following a collapse of the state due to the Ukraine war.
Just some hypotheticals.