e.g. The UK was able to leave the EU without the EU's consent, but the same cannot be said for Nebraska leaving the US.
Also, US territories are self governing. e.g. Puerto Rico and Guam. They aren't governed directly by the federal government. The only major difference between a territory and a state is in voting rights and congressional representation. I believe there's an exemption from federal income tax as well.
There is still a distinction between US territories and states, because while in practice the territories are self governing, they have no Constitutional right to self governance. The federal government grants them some degree of autonomy as a matter of pragmatism, but the federal government has the power to revoke this autonomy by a simple act of Congress. The same cannot be said of states.