Exactly. I pay city, state, and federal income tax in the US. My city is about 1.5 times the population of Finland, and that's only one of the three different forms of income tax I have to pay. At least that goes through the state, so it's only two departments, but that's again separate from the federal IRS. And that's just income tax, not other taxes I have to account for and pay as well.
The reason it's more complicated in countries like the US, Japan, India, etc. is because they're much, much larger, which requires more complexity to manage - both the size of the government itself and the revenue-collecting departments that need to support it.
If I only had to pay taxes to my city's revenue department and there were no state or federal tax in the US, I can guarantee that the process would be a lot smoother for me as well.
So I wouldn't say that most countries differentiate like in the states.
Maybe it is a Europe - USA difference?
Definitely a peculiarity of the US system being less cohesive than some other countries - and also dealing with far more people and jurisdictions.
Actually the more population the harder it is keep the different taxes, it would be easier to have a single one and distribute it accordingly from the top.
That's how it is in most countries because they're all different entities collecting.