Policemen are above the law because that's how the system was created. At least in the US, police departments were primarily created by the elites to protect the elites from immigrant masses. When the elites were all mostly anglo-saxon protestant, we didn't have a need for police. But when cities started attracting immigrants - particularly german and irish, the elites needed a forceful mechanism by which to suppress and control these people. Of course when the germans and irish moved up the social ladder and the new arrivals were italians and blacks, the germans and irish suppressed and controlled these people. Now in a "post-race" age, police exist primarily to serve and protect the rich elites against the less wealthy masses.

The idea of police existing to protect you ( Protect and Serve nonsense ) is just PR/marketing. Just like "Don't be evil".

I suspect in most countries, these same pattern holds.