When the Nazis discovered that Stepan Bandera had plans for an independent Ukraine, he was arrested and taken to Berlin. During an interrogation, he said that the Nazis would lose the war and he did refuse to support the Galicia division. So did his followers. So yeah, the real goals of the Bandera movement were ethnic purity and independence.
That's all in the past but I don't think the EU gets very happy about a Bandera parade. Random immigration is one of their policies and the immigrants don't have to be ethnic Ukrainians.