The U.S. is not a country that loves anybody -- not in the way that countries like Denmark does. The U.S. works by mostly just getting out of the way and ignoring you at least compared to other advanced countries. You have more room to succeed or fail here than most other countries, but the government really won't do much to help you either way. Most interactions with the government here aren't all that wonderful no matter who you are.
Other countries offer better protections but can be more intrusive in ways that prevent both vast success and failures, with the tradeoff of creating more social stability.
The good news is that it seems like both approaches have managed to create great places to live provided you have some baseline understanding of what the place is like. There are a large number of well developed countries I'd be perfectly happy to live in, Canada included, because they offer great (if different) and reasonable living conditions.