This is ignoring all of the details. Feudal peasants were much closer to slaves than to citizens in a democracy. They had a duty to produce certain amounts of resources for the lord - often not a percentage like a tax, but a minimum amount due. In many places at many times, they were bound to the land - they were not allowed to move away from the village where they lived, definitely not to a different Lord's lands. As you also note, they had no power to influence decision making, and even if they did rise up, they were violently put down, by neighboring lords if they somehow were successful against their own.
Not to mention, (modern) states offer much more than military security. They offer healthcare, food, care for the disabled, infrastructure, education, and many other services. And, especially in smaller nations or at local levels (think town, not US state), there is quite a lot of real democratic power, certainly incomparable to the realities of serfdom.