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Because whilst there was a reasonable swing against federalism, the vast majority still voted for parties that are very pro Eu. One of the things Dave has said, and rightly so, is that it'd be wrong to empower a hardliners federalist in the wake of the way the political wind is blowing.
Dave hasn't embarrassed himself so much, but he has driven himself into a stupid corner since he's no longer in the EPP and so doesn't really have a leg to stand on regarding who the EPP puts in place. Leaving the EPP was a short term domestic policy move, one that hasn't paid off in the wake of european politics as a whole.