The EU does have its own foreign policy. Specifically, it has a grandiosely-titled "High Representative of the Union for Foreign Affairs and Security Policy", which was one of the more controversial creations of the Lisbon Treaty, as it was seen as transferring too much power and influence from member states to the Brussels machine.

Devolution is about distributing power down to as local a level as is practical and sensible. This is to give smaller electorates greater say over the matters which affect them (and only them). Centralising powers which are currently held at a national level to the supra-national EU level would be the opposite of devolution.