Sweden basically has qualified immunity for all employees (our law is a bit different but offers almost as strong protections). So, no, I do not think the US is the only country which needs qualified immunity.
Well in the US. That's only for public official, not for your average Joe. So if you are a security you can be sued. And actually the two security guard that didn't help the older asian lady were fired(in NY). For doing nothing. Meanwhile a cop could not be sued for the same thing...