I'll also note that nothing here is per se undemocratic. Both the Parliament and the Council are made up of elected members. The members of the Council (as members of the national governments) are indirectly elected, but elected all the same. Direct election is not a requirement for a democracy (see election of the US president or the US Senate prior to the 17th amendment or the Senate of Canada right now).
That does not mean that there isn't plenty of valid criticism of the EU's current structure, but claiming that it is not "actually democratic" falls far short of a meaningful critique.
Did we not?
I voted for the EU parliament. I voted for my government, which forms the council and appoints the commission.
* the Council of composed of ministers and heads of government. Ministerial posts are distributed among the winning party members in pretty much every country, and only presidential systems have a direct election for their head of government. In constitutional monarchies, the head of government is commonly assigned to the largest party leader, but it's not a directly electable position.
A Californian did not vote for the Senator from North Carolina.
A Londoner did not vote for the MP from Edinburgh.
A Berliner did not vote for the Bavarian Bundesrat member.
The Londoner is completely out of luck if their seat is a safe seat but not their party.
Not that German politics isn't pretty hosed too.