No idea really since I'm the same with living in England but I think it's more to do with the different styles of riding as dressage is done in a rectangular arena and that's done in English style. In all honesty haven't got a clue.
They are not only in USA and Canada. Yeah, You can spot them mostly there, but they are also everywhere else, just not much. They are used usually in western-riding stables, but if you want them for whatever you want them, you can also use lungeing round arena.
I'm sure there are round encloseures used for working horses in Great Britain. In fact I talked to a clinician that has made several trips over there in the last 20 years and he said they are becoming more and more common. There is nothing hard about building one. Just build it least 2 meters tall and 20-25 meters in diameter.
I think orginally they were probably built for handling cattle and used for horses as needed. The first clinicians had roots in ranching and cowboying in the Great Basin area of western U.S. And brought the tools that they were used to using and that worked well.