I don't see why term sovereignty should be applied only to member states and not the EU as a whole.
If the EU becomes an actual state then it can be sovereign, but then it means that member states won't be sovereign anymore as they will no longer be independent states. This process is already in progress.
The EU doesn't have ultimate power as it has no military — member states can just ignore it. They will stop receiving benefits though. Most EU states realise a rising tide lifts all boats.