1. Prevent war. The EU was designed for this purpose, after centuries of European warfare, by the survivors of WWII. You can't overestimate the damage WWI and WWII did to Europe; the next one would utilize more powerful means of destruction. You can see the problem with European conflict in the news right now.
2. Power: In a world of giants, with power already in the relatively massive US (fortunately an ally to EU countries), and shifting to some degree to China and India, little Croatia (or UK, IMHO) is a tiny minnow. The EU is a major power - the world's largest economy, IIRC.
#2 also impacts the US, and freedom and democracy, considerably. China's population relative to the US is about 4x, which is not far off the US relative to the UK. If China develops to even half the per capita productivity of the US, its economy will be ~twice as large. The same goes for India (which IMHO is a greater danger - people have their heads in the sand about Modi's openly aggressive nationalism). Without the EU as an ally, the US may be too small to compete.