Perhaps it is because they remember their own history they are so concerned. It is certainly true that in the last century every country was occupied by Nazi Germany or by the USSR or was communist excepting Sweden, Finland, Switzerland, UK, Ireland, Spain and Portugal. Spain was of course a fascist dictatorship. Portugal was a dictatorship, followed by a military coup for most of the century. Greece had a military dictatorship supported by the US as part of its policy of avoiding left wing democracies and favouring right wing military dictatorships (see also Iran).
You could argue that the only European countries that were democracies throughout the last century were Sweden, Finland, Switzerland, Iceland, UK and Ireland (Ireland only becoming independent of the UK during the last century). Iceland only became independent following Danish occupation by Germany and its own occupation by the allies.