Why? P/E ratios are very sensitive to business and growth characteristics of companies/industries. It is not a one-size-fits-all measure to compare companies, much less countries. High growth, high quality companies naturally command a higher valuation multiple. US stock market is highly diversified and you have a big healthy mix of industries there (though tilted towards growth with tech companies), but I cannot say the same about most other countries’ local stock markets. Shopping for cheap countries on P/E you’re more likely loading up on junkier companies with poorer financial and growth characteristics. Stuff is generally cheap for a reason.
For example Russia is among cheapest countries according to your second link, well, it’s mostly oil and gas you know. And then I suppose P/E is calculated in local currency, so you need to take into account local inflation/interest rates and currency make-up of companies’ earnings to judge whether a P/E of 7 is cheap or not.