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It's generally not attractive for leaders of the countries because it means giving up some of their powers + getting extra external oversight would curtail their remaining powers. People have a really hard time giving up power and/or control, and for the big egos that become head of state, it's especially hard.
That unwillingness to give up power is why every EU member state has veto rights and EU decision making can be paralyzed by a single rogue member. EU oversight against corruption is also limited to corruption with EU funds, national politicians their grifts are not directly hindered by the EU.
The way that the EU gets most improvements done, is by creating a directive (which could be blocked beforehand by a single member) and then members have x years to implement the directive into their own laws/governance in their own way. Failing to do so will result in fines for that member. It's a slow process, but it's been very good for gradual improvement. Crises however can only be tackled by the members having a meeting and searching a consensus amongst their selfish interests.
This slow hands-off approach also means that there is a lot less political whiplash as one party loses and another comes into power, which makes the EU directives easier to digest for the varied members and their diverse circumstances. With a fully federal Europe, it would rip itself apart sooner or later by politicians who put their nation's short term self interest above the collective (see Serbia in Yugoslavia for an example). I'm personally in favor of a more federalist Europe (in particular for foreign policy + external borders + military, and less veto power), but it should still leave most powers with the member states, directives good, dictates bad.