I'm afraid EU is a necessary evil. Local population delegated some powers to nation states, otherwise the would cease to exist. How are you gonna stand up to China, India or US in the future?
The definition of federal:
"Of or constituting a form of government in which power is distributed between a central authority and a number of constituent territorial units"
OP is suggesting a more decentralized EU, not a "bigger leviathan"
The European Parliament, because of its pure-proportional electoral system, is arguably more connected with the population than most national governments.
The UK is the extreme example of this: for a decade, their EP contingent has had a massive number of euroskeptic politicians who never managed to win more than a single seat in the British Parliament. Brexit proved that Strasbourg was actually more representative than Westminster.