I fear that the EU would seek to usurp a UK parliament that presided over a collection of small states and want each state to go direct to Brussels where they would have a marginal voice due to their small size.
The more powers you devolve the more risks you have. How do you deal with a situation where the EU and Welsh parliaments agree on a policy but it is blocked by the federal UK gov? If I was a cynic I might suspect that the EU would look for ways to do this on purpose.
Wales already have the Welsh Assembly, yet the EU does not seem to have tried this.
I think you'd find that on the contrary a lot of EU states are terrified of any steps that would legitimise more demands for devolution because they have their own independence movements to deal with.
And if anything, if the UK vote in important EU organs were split, it'd greatly increase UK influence on many matters in all the situations where interests are aligned, because most EU organs does not have representation proportional to population size, and many have requirements for super-majorities or even unanimous decisions on many things. That too would make many of the other large EU countries push back against any attempts to bypass a federal government.
I don't necessarily mean the states becoming EU members in their own right, but rather the EU using them as tools to pressure UK gov into making certain decisions. With more referendums becoming an increasing threat to Westminster, thus weakening it.