You might think of the example where each of the sets $E_i$ is the finite set $\{0,1,2,3,4,5,6,7,8,9\}$. Then $\prod E_i$ can be seen as the set of all possible sequences of decimal digits. If you put a decimal point in front, you have the set of all real numbers in $[0,1]$. And hopefully you know Cantor's diagonalization argument which shows that is an uncountable set.
As a very rough explanation of the difference between union and product, union is like adding and product is like multiplying. For instance, if $A,B$ are two disjoint finite sets with 100 elements each, then $A \cup B$ has 200 elements, but $A \times B$ has 10000. You can see how repeated multiplication gives you much bigger numbers much faster than repeated addition - exponential growth is much faster than linear growth. So it isn't surprising that taking products of sets could give you much bigger sets than unions would.