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.
Yes, and I'm not sure why you're framing it as some kind of gotcha. As an EU citizen, I'm all for it.
Which sovereignty in this matter have countries which anyway would not have possibility to develop this capacity in anyway ? Estonia has not the know-how to make satellites, or make rockets or put anything into orbit by itself. Are they more or less sovereign with a shared guaranteed access to such a capacity provided by bigger countries of Europe and or Europe itself ?
I think that such discourse are FUD to prevent any advancement of European integration. Without such development small EU countries would be dependent upon the will and need of Elon Musk or the american DOD.
That's the whole point of the EU, it's not some hidden agenda. Many people support a stronger EU. Yes, this means that single member states have less sovereignity. But the EU is a democratic institution (and yes, there's a lot to improve here I know) and giving up sovereignity doesn't mean giving up democracy.
It's the other way around. If the EU becomes sovereign it becomes an actual state.
The EU can be said to be sovereign in some limited areas without being really sovereign, though. We say the Schengen agreement sets border law, even though countries often set up illegal border checks.