As a Danish person I wish the EU had actual hard power but in the end of the day Denmark doesn't have the same geopolitical interests as Hungary, Bulgaria, and Slovakia. In fact their views are the polar opposite of ours.
Now, you can always assume I only say this because I live in a poor country that everyone pushes around. But when we zoom out a bit, the same could soon apply to the entire continent. We are not united and that's bad for all of us because our competitors are more much bigger and better integrated.
Did you have something else in mind? I don't exactly pay any attention to US politics but I am sure their states are competing with each other because they have their own interests in mind. But that applies to cities too, does it not?
I guess people don't like hegemonies unless they greatly benefit from them. Go figure.
Of course Danish interests are not aligned with the rest of the EU. They live in a hygge bubble, not having been under Russia's boot. Their worst problems are immigration and Islam. Denmark has the most opt-outs compared to any EU state: Euro, EU Blue Card, Europol. It took a second referendum this year to abolish their defense opt-out. And of course this is bad for all of us.
https://en.m.wikipedia.org/wiki/Danish_opt-outs_from_the_Eur...
This is pretty much solved by the enumerated powers clause. Outside of the dozen or so federal powers the central government handles, the states operate mostly autonomously (something non-Americans, particularly Europeans, find impossible to comprehend; at least based on common internet discourse).
Presumably, the same could be done for a Federated EU; but it's unlikely a good chunk of the nations (particularly the wealthy ones) would be willing to cede their ultimate sovereignty to a central power.
Mexico has a very weak and self-defense oriented military, but is under no threat of occupation or annexation. Mostly because it's continued existence benefits both the US and Canada, which offer a proxy protection. It also keeps relatively good trade relations with many powerful nations and has a large consumer economy.
Or Mongolia, which exists because neither of it's neighbors could reasonably occupy it or would allow the other to do so.
Military strength is one way to ensure protection. It's certainly not the only way.
You're only reinforcing the point with your flights of fancy, not countering it.