In Australia, it's called "The Australia Tax". Partly, selling into another country is a bit of a headache. That's one reason why US businesses can do so well - they only need to succeed in a single jurisdiction and they'll make a lot of money. Yes, there's different state laws, but pretty much all countries have annoying state laws, and not all countries are as lucrative a market as California alone.
This is why there is the Euro also ;) Still missing a big manufacturer in there tho.
You still have to deal with a lot of very different sovereign states, languages and mentalities. A Swedish customer is not going to feel much different about dealing with Greek business than dealing with a Russian one.
Imagine you want to start a business selling your own brand of briefcases. In the US, you can set yourself up to supply to the whole US (almost) as easily as you can to deal with your local state. Try organizing shipping, sales taxes, customer service etc. for all Europe and you'll probably decide to start with one or two countries.