One of my favorite things to do in this game is to form the European Union and its accompanying democratic larp. However, to this day, I do not think I have ever formed a whole EU in Vanilla without using the console. Why? Because of Luxembourg.
There are three ways to form Europe in Hearts of Iron: clicking the "Realize European Unity" decision, cheesing the decision, and going down one of the EU focus trees.
The decision "Realize European Unity" is locked behind controlling France, Germany, Italy, Belgium, Holland, and Luxembourg. Anybody who has tried will know that it is exceedingly difficult to click the button. Before Gotterdammerung, you had a few options. First, pray as France or the Benelux that the other countries would get puppeted or annexed by Germany/Italy so that you could annex the required states. Second, cheese the game by being fascist or communist and then flip democratic, breaking the larp. Both of these are imperfect for the map game larper.
After Gotterdammerung, Germany finally got a Democratic path with content for European unification. This made puppeting and eventually annexing democratic countries as a democracy in Europe better and more larp-friendly. You bring countries under your control by inviting them into Mitteleuropa and then pressing the decisions. The east is invitable by focus, while France, Holland, and Belgium will typically join by world tension or being declared on (assuming the Allies are not an option). After you get them, you can easily annex them by decision.
The problem? LUXEMBOURG. No focus, no decision, and no overseas colonies for Japan to declare on to kick it's ass into Mitteleuropa. So, even if you integrated every other country in Europe, Luxembourg will never join you nor will it generate world tension for a justification, making it impossible to form Europe legitimately. Of course, you could always do a day 1 justification on Luxembourg to "solve" this, but this is suboptimal for larp. It is just so disappointing to get to the late game and realize that there is no realistic way to form Europe simply because the devs seemingly overlooked the fact that Luxembourg exists.
Except, the devs didn't overlook this. The Belgian and Austrian European President paths function as a solution to the problem of Realize European Unity by making the EU a dedicated faction and mechanic for these minors. As we all know, though, these paths are a hot mess. Firstly, there is a more than good chance that you'll have horrible borders because of the RNG of subjugation acceptance. Secondly, your country becoming the European President is cool before you realize that this is just what your country is called now.
The bottom line is that forming the EU is basically one of the only fun paths for a democratic country in Europe short of just stomping Germany in the first few months of the war, but actually forming it REQUIRES you to cheese the game.
The worst part is that there is a simple fix for this. JUST ADD A DECISION TO INVITE LUXEMBOURG TO THE FACTION! Hell, Luxembourg was a founding member of the European Coal and Steel Community, which is namedropped in the decision to form Europe. Paradox could push a 3kb update that adds, what, 4 lines of code? I beg you, John Paradox, just let me larp.