Figures I have seen* show that most countries have similar levels of overall taxation. From memory, Australia runs about 25% of GDP, the US is about 23%, Japan about 28%, UK about 30%, and most of Europe higher, with Denmark about the highest.
The issues of the 4% rule are around the Australian share market only returning a lesser amount compounding compared to the US market. There are many reasons for this, but tech stocks are a large part of our "parting of the ways" over the last 20 years. US stocks tend to be higher growth than Australian stocks, which are more dividend focussed. Our retirement focus here with dividend imputation may be an issue in the higher dividends and lower growth.
If you are going to live on very low expenses, I would prefer to be in Australia if something goes wrong. Universal health care and a safety net mean that some retire on a net worth of 0, and live off the social security system. I suspect it would be a lot more comfortable living off the dole here than in USA.
So ultimately, I think Australia has benefits for early retirees in the health system and a safety net if things go wrong. This is a frugal retiree. However, our returns are less over the longer term.
* These are from memory, and may be incorrect. Please don't burn me for not bothering to look them up properly.