I think you need to understand something about America...
You know how you hear all that stuff about them being the "home of freedom"? Cheesy as it sounds, it's all true.
Countries like yours or mine, although free societies, have quite a few laws designed to prevent or contain certain things that are allowed in the US. In the US, because freedom is so important, they are happy to put up with more in order to keep things free.
Personally I find it a bit odd, but you have to consider where they came from. Their country was born directly out of revolution and overthrow of what they considered to be a tyrannical regime. As such they're none to keen to ever see that back again.
In contrast, neither of our countries have recent revolutions in our history. In Germany, for example, they have the recent shadow of Nazism - so in your country some things like Nazism are illegal. Here, that's not illegal, because it doesn't have the same significant place in our history.
It's hard to accept, given US foreign policy, and given critical media coverage (especially in europe) but "as-a-society" the United States prizes freedom VERY highly. I would say more highly than most other countries.
Of course, you could argue that's because they've never learned the need for a balance between freedom and security (and they might be learning that now!), or you could argue they have it right.
Just thought it'd be important for you to understand that's why things like Loose Change and these other documentaries are allowed to be made and shown.
And apologies to any of our American friends who aren't impressed by my gross over-simplification of their nation...
-Andrew