The answer appears to be that US regulations require that eggs be power-washed, which removes all organic matter (and any harmful bacteria) but also strips the egg's shell of its protective coating, thus rendering it more porous and open to contamination. A synthetic coating is often applied in commercial operations to combat this but the eggs are still refrigerated. The USDA also requires that eggs be sold under refrigeration, regardless of how they are washed, so even your super-crunchy health food stores are going to keep their eggs in the refrigerator or risk being shut down.
The question is also connected to the health of egg-laying chicken. The commercial chicken and egg industry in the US, as well as the average US consumer, has accepted a certain level of contamination (such as salmonella) in their chickens and have for the most part responded by super-sanitizing the end product (such as pasteurized eggs) rather than addressing the conditions that cause the contamination in the first place. For many people, the idea of not refrigerating eggs just seems to risky.
Which brings us to the cultural component at play. Americans are much more fastidious about their food and have the luxury of easily available refrigeration and the resources to produce the energy to run it. We've grown more accustomed to a germ-free environment and in general can be more sensitive to germs and other tummy-upsetting beasties.
Of course, people who raise their own chickens and have complete quality control over the product from start to finish may feel more comfortable deciding not to refrigerate their eggs. I know that in my case I refrigerate my eggs, despite the fact that I purchase eggs from pasture-raised chickens and have complete trust in the farmer who sells them. I don't feel I have to rush home to get them in the refrigerator, but I still feel a little funny just leaving them out on the counter. Old habits are powerful.