Does it have any authority, then?
It's as if states in the US could ignore federal law. The difference is that in US the federal government could actually send federal agents to arrest the governor and bring him for trial for breaking federal law, but in EU nothing would happen. The EU parliament might try to put sanctions on a country for not following a directive, but then again, other countries would need to agree to it. So if the issue is a hot one, not much can be done.
If an directive has been issued, it can't be ignored by the member states. If they do, they can be forced to do follow it by a European court as they act against the European treaties they signed.
The European parliament can't issue sanctions against anybody, because that's not in their power as defined in the EU treaties.
What the EU parliament can do in this case (and what do actually did here) is issue a sternly worded letter. They can also try to bring the EU Commission or the member states to do something.
But you're right in this case the EU can't do anything about Snowden. It's really just a motion calling on EU national governments.
Power in 'the EU' is wielded largely by the CoM and the Commission, the parliament is just a side show. The EU is a fundamentally technocratic, not democratic, institution, This is by design.
edit : fat fingers