Europe

NATO could have entered the war in Ukraine at any time

And it has. They are spending on this war as much as they did on Afghanistan. They are sending intel and commands directly to Ukrainian officials. And not just weapons and information; according to the recently leaked papers, there are NATO troops on the field too. They are fighting the war in all senses except legally, and, by extension, in the PR sense.

this war -like any war- doesn’t make sense

Every war makes sense. Countries start wars when that's what benefits them the most. And countries carefully plan and set up future wars.

Why so?

There are two sides in this global-scale hybrid war. Finland and other countries have joined what they believe to be the winning side, or at least the side whose victory would be more beneficial to their political interests. Other countries are siding with Russia and China. Countries joining an alliance voluntarily doesn't mean the alliance isn't a threat to the other side. NATO has gradually turned itself into an alliance with the power to defeat Russia.

then we would “magically become democratic”

No, nobody would. The US has just passed the RESTRICT Act, which imposes stronger restrictions than even China has. If you suggest that your country should just let the authoritarian guard down and allow every foreign psy-ops to have a meaningful effect on it, they'll just laugh at you or you'll be killed by thugs in an unfortunate and unrelated turn of events.

The only way to get what we want is to wait until the existing superpowers have fought each other into an unstable state, then seize power by violence. Anything else is just wishful thinking to feel better about something you don't actually ever expect to change.