I'm not sure why, perhaps its the egalitarian nature means no one wants to be richer than anyone else? Or maybe its lack of desperate workers.
It's also very hard to generalise across Europe, which has a more diverse set of rules and business cultures than the US does.
But given a magic wand to make changes I would definitely introduce "de minimis" clauses in a whole load of business regulations. The rules for megacorps can afford to be complicated, the rules for small businesses cannot.
If there is a correlation, I'm guessing it is that governments that take active responsibility for the wellbeing of their citizens also institute regulations which may make starting businesses more difficult. In other words, active governments are more active in general, not just limited to the safety net.