This is the baffling side of the EU to all outsiders/newcomers. When I first moved here, that was my first thought as well. There is just so much in common, why repeat everything everywhere instead of single effort with branches everywhere?! (police force, consular services, Identity services, and pretty much any Government paperwork one can think of, transportation services etc). However, the population is very localised and divided. The French do it their way, Italians another way, the Germans on their own way etc. It is hard to find gain common ground beyond what EU already represents(which is very good IMO). I do wish doing things at EU level becomes the norm, and individualities slowly disappear.
Imagine a single European rail service (not Euro rail where you can buy a single ticket that will make you take Dutch train, and then connect on a German train, and then on an Austrian train, and if you miss a connection, good luck figuring out your replacement..)