The thing is that this is not a primary, it is an internal process of an european party.
Because we are in general not restricted to choose between two parties, choosing the candidates is seen as a legitimate internal process. If the parties choose the wrong candidates you can simply vote for another party.
In the french presidential election round one of the elections is more like your primaries as it is (generally, though I assume that you win it all if you get more then 50% in round one) there the two main competitors are elected. Of course, this has it drawbacks too (need I mention Le Pen?). A vote for PES is a vote for EPP! A vote for EPP is a vote for PES! Support the coalition, vote EPP-PES in 2009!
There is always a risk of a 'breakthrough'. An equivalent of Ross Perot anno MCMXCII would earn 20% of the parliamentary representation in most of Europe. And hang on to it for up to four years. This is sort of what happened with Pim Fortuyn in the Netherlands in 2002. Keeps politicians on their toes.
(Except Fortuyn was murdered and his party subsequently ousted after barely a year. But had he lived he might have hung on to those seats).
A system of proportional representation makes open primaries largely redundant, and maybe even dangerous.
