The EU constitution would have been an entirely different thing. It would have made the EU a lot more democratic, adding a directly elected president, for instance.
The EU now has a directly elected President in all but name, through the Spitzenkandidaten system. Legally, its supposed to be a joint decision of the Council and the Parliament, but when Cameron tried to object to Juncker, it seemed to be pretty clear that the new expectation is that the Council rubber-stamps Parliament's decision, and Parliament will support the party receiving the largest number of votes.
A president elected by the parliament used to be a pretty common thing in many European countries. It's simply a different model. Keep in mind that in virtually all European countries, the office of the president is not particularly powerful. The government/parliament combo is where the power is - the president is in many countries little more than a guy/gal opening new motorways and representing the country at international summits (but foreign policy is crafted by the Secretary of Foreign Affairs equivalent).
The "election by parliament" model has been/is now being phased out in favor of direct presidential elections in many countries, but let's not pretend like we're dealing with something particularly unusual here.
You can go vote and write in 'Lady Gaga' or something. The important part is that you getup and go "vote", to signal that you care.
Otherwise, politicians won't be able to tell whether you are dissatisfied or just uninterested. If you are explicitly dissatisfied, they might try to do something to get your vote. Hopefully by enacting good policy.