Fizz' answer covers what a second order election is very well. Much like they do with local elections, voters tend to use their EU vote to send a message to their national politicians in some form or shape. The best illustration of this probably is the Brexit party in the UK this year, which won the EU election without a shred of a policy manifesto. (See them getting called out for it by @ByDonkeys.)
This answer, however, doesn't strike me as complete without raising why voters don't think that voting on the question (or indeed, at all) is important. The short answer is that EU citizens don't know how EU institutions work and in what ways what they're voting for matters.
If you ask random people in the street in the US, I'd surmise that most will at least have some vague notion of how bills hover between the White House and Congress. Try the same in Europe and most people you speak to will have no idea of how the process works at the EU level, what the EU can and cannot vote on, and for that matter what their own MPs are up to most of the time in practice (which is to say, vote on bills derived from EU directives that were decided at the EU level).
The blame for this is shared at at least three levels.
At the institutional level, the EU itself changes every so many years, and the civics curriculum is, in my opinion, underwhelming. The EU I was taught about as an afterthought during my childhood and early adulthood changed a lot, and it continued to change to this day. Civics classes -- when there are any -- simply aren't enough to drive the EU's importance across.
At the media organization level, there is a scathing case to be made that news outfits are, at best, not covering the EU enough, and at worst, actively mischaracterizing what's going on in Brussels. Part of the reason here is that the EU is shy to celebrate its achievements. Part of it is also that what the EU achieves might seem far removed from the day to day -- who wants to celebrate banning a chemical from a consumer good? But in my view the biggest part of the blame is firmly onto news outlets who aren't reporting on what's going on in the EU.
Lastly, at the politician level, demagogues all too often use Brussels as a convenient scapegoat. They're able to do so because voters don't learn enough about the EU to begin with as they grow up, and aren't fed a regular diet of EU news throughout their adulthood. Still, there's a word to be put in for the way radicals and extremists on both sides of the political spectrum blame the EU for just about anything they can come up with.
In the end, the result is that large swaths of EU citizens don't know why EU elections matter, and you get situations like in the UK, where it got spun into a Brexit referendum rematch, or like in France where it got painted as a plebiscite of Macron's vision of the EU.