The EU seems to be having a little problem with democracy. Ireland has rejected the Lisbon treaty, in what was really the only vote on the subject. You may remember the constitution fiasco, which this was supposed to fix. Oops.
democracy isn't very extensible.
expecting the entirety of europe to have the same position on all major issues is no more realistic than a shared democracy between the u.s. & japan, or kurds, sunnis & shiites. majority rule doesn't work very well when you have a 60/40 split on major issues. or 33/33/33, or what have you. economic cooperation is one thing, sacrificing decisionmaking power to a centralized government is quite another.