Nobody really understand how the EU works, except for a few bureaucrats.
There are too many proxies. You vote for a local party, then you find out they go into a coalition because the parliament is huge: over 700 seats. And those parties in one coalition have very different agenda's.
Then you look deeper, and the parliament's power is very limited, and most of the power lies with the council and commission.
Both are not chosen in an election but in negotiations by the governments, which tends to mean certain countries like Germany and France have a very big say. Of course in a very indirect way these are somewhat chosen by certain part you of the people in the EU.