It happens in Europe, it's just that you don't hear about it unless it has an impact.
For example this summer in Paris, a train station (gare montparnasse) was without electricity for 3 or 4 days because a transformer was on fire.
This page has a good diagram showing the difference between US and EU distribution systems - how the US has many small transformers vs the EU having few large ones, and how US customers get three-wire single phase vs EU three-phase
It also goes on to say "European systems need more switches and other gear to maintain the same level of reliability" so European utilities probably just spend their way to better reliability (burying power lines is one way to do that)
They do happen in Europe too. I actually expect something like at most one blackout per year.
I remember few years back an insane thunderstorm caused an "equipment failure" in the electrical infrastructure, and it manifested as a blackout. The blackout was somehow local and my mobile phone worked OK (though I could not charge it).
Generally any blackouts have been short, from tens of seconds to half an hour or so. No spectacular blue lights with aliens swarming in from the resulting dimensional rift.
It did raise thoughts of how highly vulnerable a modern society is to loss of electricity.
I mean, what if the lights went out and did not come back? (The Long Dark reference is intentional)
Were an EMP or something take place and fry electrical devices for good from a large ares, things would go bad and fast. The system impact would be massive.
There would be: no computers, no cars, no cell phones, no TV, no fridges or freezers. No digital clocks. No electrical heating. No lights. No deliveries to shops. No subway, no trains. No card payments. And so on. Eventually people would be out and rioting and stealing to feed their starving kids once a week or so had passed and any cupboard storages of canned beans and the like had been exhausted.
Distribution transformers (i.e. the small ones that serve homes or individual businesses) are run-to-failure components and they fail all the time. Most of the time, the failure is not as catastrophic as an explosion, because a protection system isolates the circuit and limits the amount of energy discharged through the fault.
For various reasons, it can be impractical or not economic to provide very sensitive, very fast protection schemes for distribution systems. An example would be single-wire Earth-return distribution systems which still exist in rural areas of the USA.
But rest assured, there are transformer failures on a daily basis all around the world.
In the UK we don't generally have transformers per home or business, but mainly larger ones that serve a few hundred homes, usually the size of a shed. I have seen one of those fail but it is not common.
And, I've never seen one in North America or anywhere else. It is a pretty rare event. I highly doubt that they happen significantly more often in one country or another. There are a lot of transformers in the world, however, and they sometimes fail for a variety of reasons. I hear about it often enough.
A while back a local (Netherlands) 25KV transformer caught fire and did about the same as this one only less and smaller until they cut off the power. It happens, but usually the power gets disconnected before any arcing can happen.
US power distribution is way more distributed than in Europe, in which everything is planned and centralized.
In the US there are transformers everywhere, you can see a house and a small transformer nearby.
In Europe they have this big monsters that cost several million dollars and require a train to move.
In Europe transformers in the city use to be underground and you won't see anything but a blackout of power.
It happened in Madrid some years ago.
Old transformers are very toxic as mineral oil with aromatic rings is burned,which is carcinogenic. New transformers use Hexafluoride SHF6 that are smaller, innocuous and easier to control.
But it cost a lot of money to update your infrastructure.
New York also has experimental superconductor lines.
The fluids were often polychlorinated biphenyls, which are nasty in their own right, and produce even worse things when thermally degraded, such as dioxins.
