That's true of most countries, the best we can do with our vote is hope that when mixed with many other votes it leads in the direction we prefer, sometimes in a direct count, often in a multi-staged affair where your vote may or may not influence a local MP/senator/whatever which will then potentially influence which political party's leader becomes the PM/president/whatever.

Maybe (surely) the EU could be restructured to be even more democratic, but isn't that also true for pretty much every country in the world?