However someone else pointed out they are hosted in us-west
We are, sadly, not quite that far along yet.
Also, European national states are mostly too weak to have any influence in the global problems of the 21st century. A smaller share of a larger (power) pie would still be an improvement.
First install a working democratic process, then get more power. Not the other way around "lets give them insane power and then they will surely be nice to us and give us a good democratic process" as many people seem to want.
Also I'm not even sure that if there were a good democracy that I'd want to give e.g. Italians the power to vote on what happens to me, given that they elect and keep electing Berlusconi.
And yes, creating a "EU government" is almost certainly even harder than it appears. The current system seems to combine the speed of a multi-country democracy with the legitimacy of a multi-country oligarchy (of elected ministers, but still).
Caveat: IANAL (but my wife is).