This is really just a matter of definition at this point. The entities which actually hold governmental power are by definition 'states'. The individual states which make up the EU are what grant the organization its power. The individual states in the US are what grant the Federal government its power.

Central planners think that there should be one state, the US state, where the individual "states" derive their power from the Fed. And if you think that the states should be small municipalities then that's fine too. But it's not hypocritical that municipalities derive their power from, and are restricted by, the state.