The EU probably isn't ready yet for that level of federation. e.g. I don't think "The EU" has a foreign policy. And given how half-hearted our integration with the EU has been to date, I'm not sure that we'd be in a particularly good position to drive that sort of thing.

Speaking of our half-heartedness, if we were to do federate under the EU, we'd probably have to adopt the Euro. Given how well that's currently working out for the existing participants, I don't think anyone would be particularly excited about that prospect.

And personally, although I'm generally in favour of a European Union, or even World Union at some level sometime in the future (comes from reading too much SF in my early teens), I'm not really in favour of the current European Union. It's just too... unwieldy.