I guess it depends on the definition of ‘economically free’. Maybe it is easier/less regulated opening a business in Saudi than in France? Or just faster and less paperwork? Maybe it is far easier to hire/fire people in Saudi?
A lot of it is probably partially due to dumb methodology. They have Saudi Arabia's tax burden rated at 99.1%, but that's probably because Heritage is all less taxes == more better and Saudi Arabia's government is basically a state-owned oil company, so they basically don't tax at all.
Though, I will second a neighbour comment from Clewza313.
The veil of regulatory liberalism of Gulf countries crumble after your first in person interaction with a local official.