The problem is that cross country trains are a hassle, because many eu countries have there own booking system, gauge width, traffic control infrastructure. Unless you take a popular route between mayor cities, you need to buy multiple tickets and change trains.
The reason the tracks are not standardized is because in the 1800s the military did not want neighboring countries to just roll into their country by train.
You exaggerate somewhat - there are only track-gauge changes at the border of Spain, former Soviet-Union (Moldova, Ukraine, Lithuania) and Finland (way up north...) Also some narrow-gauge mountain railways. Often you do have to change train at the border due to differing electricity systems (openrailwaymap.org shows both). Anyway many borders are in pretty places in the hills or by the sea, good to see the view and get some fresh air. For a really comprehensive exploration of border crossings check out Jon Worth's site