Even if you take the European Union alone and ignore all the other European countries, the EU only legislates over a subset of things for member countries.
AFAIK, not even that. This topic came up in relation to Hungary (before Orban was gone). What I understood from the discussion is that a country can only be punished by not giving them EU funds, etc.
Kicking out is possible, but not established and everyone happy that Orban is gone for now and no immediate need to find out how that process works in reality.
Yes. The EU has no army, no legal sovereignty within each country, etc. It's an alliance of countries NOT a single federal government. The individual countries remain in charge of themselves and the alliance is supposed to be structured in a way that only paases things the countries actually want.