People do have a lot of misconceptions about past and Middle Ages are of course no exception. People often think of a medieval kingdom as being ruled by a single guy who sat on the throne and made all decisions singlehandedly. That could not be further from truth.
To begin with most kings, spend most and sometimes nearly all their time with their army in the field, fighting various wars. King lived not in a palace but in a tent and when not in a tent then in a castle. Castle was not a luxurious palace but first a foremost a defense structure with thick walls that were meant to withstand a siege, battlements to fight off invaders and other such things. Even coronations were held in a cathedral (big church), so a king sitting on a throne was clearly a one-off thing, like marriage celebration.
Kingdoms too were very far from our modern idea of a state. The closest modern equivalent to a kingdom is actually a NATO military alliance, and that is only in best case scenario under a good and charismatic king, who could actually command enough loyalty and rally the lords to fight wars. In worst case scenario a kingdom functioned closer modern UN, that is it had institutions, rules, deliberate assembly and purpose, but most just ignored it. Medieval French infamously joked, calling area around Paris Ile de France (French Island), because even if they ruled all of France in theory, in practice their power was limited to that of Ile de France area.
In my other article about medieval ranks, I explained that Kings simultaneously with their royal title also held lower tier titles of nobility. In this case a County of Paris was the only area King actually ruled over as Count, other areas were ruled by other counts, who, while were vassals under king, held enough substantial power inside their countries to effectively ignore the king most of the time. In fact Capetian dynasty became kings of France after being mere Counts of Paris for some time, but elevation to the rank of King did not increase their power substantially.
Generally, a county was a lot closer to our modern equivalent of a country. Every county was effectively self-sufficient and could easily do on its own. Barony could not do the same as it still needed cities to provide them with tools or crafted items. In fact, some Kingdoms even rose not so much through conquest, even though conquests did happen, but through shared desire of local chiefs, who each ruled over the rough equivalent of a county, to create peace and prevent wars between each other. Even if Kingdoms were often, but not always were created through conquest, chiefs turned counts (or Earls in UK) at the very least saw enough benefit in continuation of the Feudal Kingdom system to not trying to undo the Kingdom as they certainly could undo it. Because of that counts (Earls) held significant power in the Kingdom and were always represented in governing bodies like Estates Generals or Parliament. Not dissimilar to General Assembly of UN or in fact EU. In this regard EU simply recreates the process any average Medieval Kingdom went through during Middle Ages. To be more precise it recreated Old Swiss Confederacy model, but it's a lot closer to a Medieval Kingdom than people realise.
There were more autocratic polities too, but they were minority and were typically much smaller than feudal Kingdoms and often more unstable too. Italian city states often fluctuated between republican government of elected officials and a strongman rule by some mercenary Capitano like Sforza. A famous book by Machiavelli, Il Principe, is essentially about such a rule by a strongman, who was then called Prince, a modern equivalent of this term would be a dictator. A few other places had stable principalities, but these were few in number.
While count and his county were self-sufficient enough to ignore King if it suited them, they were too small to project power on their own. On a ducal level however power projection was certainly possible. Many dukes who could command loyalty of their vassals managed to get far and become famous. William the Conqueror used his ducal power to conquer himself a Kingdom and he was not the only one. Even during War of the Roses Lancasters and Yorks used their ducal power bases and local earls under them to successfully win the throne. Duke of Burgundy managed to get so powerful, he almost took over his original Kingdom, France.
This situation only changed when Middle Ages ended. After War of the Roses ended, Tudors government England in a completely different fashion compared to their predecessors, in fact its only since Tudors that England grew to resemble something we call a state or country nowadays. France was in similar situation after death of Charles the Bold, final de-facto independent Duke of Burgundy.
Even then however, medieval level separate administration counited in whatever duchess and counties still retained their local rulers. In fact, French kings continued to create new duchies for their second sons, so called appanages. These dukes could no longer ignore authority of king at will, but they still retain their local authority, laws, tax systems and independent jurisdictions. King could impose his will on them if needed, but it was only done occasionally. This system came to a complete end only after French Revolution, that among other things completely abolished separate feudal jurisdictions and made law the same throughout France.
Thus, Voltaire's joke about Holy Roman Empire is hardly accurate, but not because it does not reflected state of affairs in the Empire, but because it was not all that different in France either. See detailed map of all French counties and dukedoms here.
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