

The EU is one entity, consisting of several member states. Just like my own country consists of many regions and municipalities with their own elected officials.
Member states are forced to comply with legislation passed by the EU, even if a majority of the citizens of a state do not want to implement it. Technically there are two other options - sufferimg massive fines and punitive actions by the EU, or leaving. I’d rather not have to endure either of those, so instead I complain, loudly, online, to politicians, MPs and MEPs.
That depends on what you mean by integrate. There are many clear examples where it makes no sense to enforce homogenous legislation. Europe is a big place, and it makes sense to have different systems in different places.
Take tires for instance - in the Scandinavian countries we require winter tires for the season, something which would make no sense in Italy for instance.