Many of the actual pharma research companies creating this stuff are in the US, so there's no customs between you and an order of random-drug-sample #91245096. And even when there is, both the US and Canada are basically allow-then-deny when it comes to drug importation: if they haven't seen it before—and it doesn't smell like a known-restricted compound to the dogs/scanners—they allow it in.
While there are some pharma companies in the EU, there aren't many, and EU countries basically don't allow drugs to be shipped in from outside the EU, no matter what's in them. Indeed, you can't even order unscheduled, OTC drugs from other countries (e.g. Russia) into the EU. It's a big problem in the nootropics community. (Try to figure out how to get bromantane in Germany. I'll wait.)