Of course the important thing is to decide what should be handled at the city, region, nation and EU level. There's a tradeoff. Decisions made at lower levels are generally better for accountability and give better adaptability to local circumstances but on the other hand they often lose leverage.
A city wouldn't be able to talk as an equal to large companies like Apple and Google for example, even many countries can't. But the EU can. Replace Apple / Google by Russia / China / US and it's even worse.