Actually the EU has done that, for example with the eco label.
However, it turned out that typical white goods with an eco label below A would not sell in Germany, so they are no longer available. No consumer choice there. In other countries, consumer standards are different, and therefore it may be very difficult to sell or to find a highly efficient device. Again, little consumer choice.
So the result was that different countries would informally set different standard - exactly what the common market was trying to avoid. Regulation would be more efficient and provide better consumer choice (everybody can get the same efficient devices).