That's true of most countries, the best we can do with our vote is hope that when mixed with many other votes it leads in the direction we prefer, sometimes in a direct count, often in a multi-staged affair where your vote may or may not influence a local MP/senator/whatever which will then potentially influence which political party's leader becomes the PM/president/whatever.

Maybe (surely) the EU could be restructured to be even more democratic, but isn't that also true for pretty much every country in the world?

But in most EU countries the current government can actually be removed a vote of non-confidence by the respective parliaments. More often than not with a simple majority vote. US style impeachment has much higher hurdles to pass.

And generally, you can't either vote for or remove a specific minister either.

Like personally I would like if you could, at both national and EU level, but the fact that you can't isn't a specific failure of the EU.