I love how these sort of bureaucratic things are so simple in the EU. For the rest of us, it is much more complex, and for most of us living in a country we like is a dream that can hardly be achieved. Nearly all my childhood friends living back home are trying to escape their country but it's not that easy (you need to find a job that accepts H1B for US, or equivalent bureaucratic mambo jambo for the EU).
Also note how many of your problems are exceptional. Few countries raise taxes from money that never enters or leaves their country, and military service requirements are often paused while you are abroad. You have it harder than most.
I really do believe that we have way too many governments, and borders are an artificial construct used to support politicians.
Personally I like that the world has both types of governments. It provides, to some extent anyways, redundancy against the failures of each type of government.