The EU has about 450 million citizens, which of course limits my direct vote. Downside of a democracy (EU is a complicated democracy, but still) is that a majority probably has other priorities than me.
However there are many ways to impact policy makers. From individual contact to impact on the public debate. Even a small post here may lead to people considering their vote or contacting a local or EU parliamentarian, which in sum pushes the needle. In the end they are receptive, as they need the votes by the people.
It's long and tedious and not all things go anywhere, but then again: I am just one in 450 millionand for most of those priority is to have a Job which pays the rent and food and thus I have to break it down to be relevant for them.