The PMs were elected. Just not by the general public. You can have a say; join the party.
EU Commissioners are nominated by their governments, the public literally has no say (beyond the general election) and the commissioner doesn't have to be a actual member of the government. Their special advisers (such as Michel Barnier - the Chief negotiator for the EU in the Brexit talks) are hand-picked.
EU commissioners are indirectly elected as they get their nomination and mandate by the elected governments of the members. While they hold considerable powers they're also kept in check closely by the European Council and the European Parliament, which are both democratically elected entities.
We don't directly elect our ministers, we don't directly elect our chancellor, you don't directly elect your ministers and you don't directly elect your PM, but suddenly it's a problem when EU commissioners aren't directly elected?