In most cases of regular product lines such as Space Police, the reason behind it is explained as such. The lines are presented in advance to the biggest retailers who decide whether they want to stock a particular line or not. When that's the case, most of the time it means you won't find them in regular retail outlets, but you can still buy them online or in LEGO shops. At least when something is available on one of the european submarkets, it's likely it will be available online for the others; but some sets just don't cross the ocean at all. Latest example, the Castle Advent Calendar wasn't meant to be distributed in the US, but they shipped some there by mistake, then ultimately decided to sell them there anyway (after some fan uproar). If they hadn't, the shipment would have been destroyed, which would have cost less than being sent back to Europe.
This particular instance ended up being averted, as LEGO Space Police was sold in LEGO's own shops, just not at other major retailers.
Brickmaster Magazine is only available to American LEGO fans, along with its myriad exclusive sets.
Several promotional sets are/were only available in certain countries, such as the Maersk Line and Shell promotional sets.
BrickArms, a company that sells custom weapons and accessories for LEGO minifigures, has ceased international shipping. Fortunately, there are official international resellers, but custom minifigs, and highly coveted Forum Member Exclusives are only available to Americans.
The Tohunga were given away in McDonalds Happy Meals in the US and later Australia. They never came to the UK.
Also there are apparently a small few BIONICLE sets that were Japan-exclusive.
What were BIONICLE store exclusives in the US were a complete gamble in mainland Europe. Even some main-line toys were hard or impossible to come by. For instance in Hungary, sets like Mazeka, the Baranus V7 and the Titan-sized Toa Mata Nui were never released (though one on-line shop did offer them for a short period of time, and for staggering prices). Karzahni was sold only in a certain kind of department store. Toa Lhikan & Kikanalo were obtainable through a very short-lived give-away deal in a combo pack with Sidorak. Takutanuva was released a year after the set's overseas release. Yet some spec-ed sets received a country-wide release.
As mentioned above, not even Denmark got certain sets released in the country of origin. A great example would be the Vehicle sets of the Glatorians. They never got released in stores, but could be bought online in the online store.
I don't know about other countries, but the Sponge Bob Squarepants sets were never officially released in shops in Poland (had to buy them from online shops or Germany).
The Avatar: The Last Airbender sets were never released in Italy, as the series never had a proper airing on normal TV channels before 2012.
The reissue of TransformersG1 Megatron, as well as Masterpiece Megatron, which are realistic gun replicas, are illegal to even possess in the US unless fitted with the obligatory orange plug. And there are countless other Transformers that weren't exported here either, especially those from the Japanese-only TV series, such as Trainbots, Soundblaster and most Beast Wars Neo, Transformers Victory, Transformers Zone and Kiss Players toys. And Masterpiece Ultra Magnus.
However, some of the above, like Saberback and Guiledart were redecoed and released in the US.
The Dinobot Swoop was not released in the United Kingdom despite his prominence in UK-original stories and the other Dinobots' availability.
Add to that Shockwave, Sky Lynx, Trypticon, Fortress Maximus, Omega Supreme, Roadbuster and Whirl, the Deluxe Insecticons, Blaster (and co.), Perceptor, Sixshot, Gnaw, the Constructicons, the Predacons... and that's just for the first three years. That said, there's also stuff that we got that the US didn't (most notably Overlord).
In Italy, the recent N.E.S.T. Global Alliance subline never got released... but they aired the commercials for it on TV.
The South Korean releases are a bit of a mixed bag, more so after Sunwoo (through their Mocom Toy division) got the distribution rights. Animated's toyline got the brunt of it though - only the first two waves were released.
Same thing in a lot of Middle and Eastern European countries. And since the toys that do come out can cost up to four times as much as in the US, fans have a tendency to just import everything, even what they could easily buy at the nearest toy store.
The Transformers PrimeFirst Edition line saw a limited release in Canada, some Asian countries and in the US (though only the Deluxe-sized figs were sold here). Rest of the world? Nada. This line was originally intended for a wider release, to be then replaced by the gimmick-heavy and down-sized toys from the Robots in Disguise sub-line. Instead, it turned out to be kind of a "come and gone" deal. What makes this irritating is that the people were anticipating the toys' release in their areas, as no one ever said anything about them being part of an exclusive line. So it came as a surprise that the distribution just... stopped. And in most parts of the globe, never even began.
These figures eventually did see a re-release, but in the US only. A number of newer figures meanwhile have been declared Asian exclusives. Europe still waits.
Also on the subject of Prime, The Arms Micron versions of the action figures as well as the Arms Microns themselves are an instant NEFY, as well as the Transformers GO! triple combiners.
Although the Transformers Rescue Bots cartoon series reached Middle-Eastern-Europe pretty fast, there are no plans to release the toy-line it's based on, much to the disappointment of the new generation of little Transformers fanatics.
The Transformers Generations figures get the short end of the stick in some Middle and Eastern European countries. In these areas, they only focus on distributing the current big, media-backed lines, such as the movie toys or current cartoon tie-in series, as well as lines that have a broader appeal like Kre-O or Bot Shots. Generations is a wildly popular line among fans for its modern updates of old, classic characters, but since it isn't promoted by any widely-available cartoons, comics or movies, is mostly aimed at older fans, and because European prices are steep in the first place, Generations lines rarely last beyond their first wave, and in recent years, not even the first waves have came out. And no, Generations (along with its former titles Classics and Universe) isn't some exclusive or a Japan or US-only line — it has been a staple of the Transformers brand for near a decade. On the off-chance that Gen toys do come out, they are badly distributed and sold mostly in low quantities in toy stores, where the price is jacked up even further — consequently, not many people buy them, and stores stop ordering them. Big retailer-chains that normally provide good distribution only carry what they deem popular with kids — Generations and other non-cartoon/non-movie lines don't meet this standard.
What's even stranger is that in some Middle and Eastern European countries like Austria, a couple of the smaller toys of these neglected lines do come out, such as Fall of Cybertron Soundwave's accessories... without Soundwave.
Due to brand mis-management and falling sales, a good chunk of the end of the Power Rangers RPM toyline never reached American shores. This includes some of the neatest non-Megazord figures, which were even advertised on American packaging.
While we're on the subject of Power Rangers there was a time surrounding the Disney buyout where there always seemed to be one major part of the Zord toyline missing. The Elephant Zord from Wild Force was one that most could deal with (it was only a sword-and-shield accessory, there was a smaller, black one released later (the original was blue,)) however, the Cephala Zord from Dino Thunder really aggravated people because it was a combining zord (it formed an arm) and was necessary to complete the Triceramax Megazord.
Not to mention the Mystic Force toyline missing a six-inch, show-accurate Solaris Knight/MagiShine and a red Koragg/Wolf Warrior/Wolzard Fire, outside of Environment Specific Action Figure variants and the Catastros Megazord since Bandai of America said it wasn't right for them to release zords of villains.
The Clawzord and Octozord from Samurai were never released in Italy, yet tht Bullzord package still mentions them on the box and the instructions, as they're needed for the combination.
Another Italian mishap: The jetbikes with the Sky/Land/Sea Brothers Zords from Megaforce are not released in Italy, forbidding the formation of Ultra Gosei Great Megazord... and the aforemented combination is the main selling point in the TV commercials. Same for the card game, excluding the cards included with the various toys.
A more vintage example is the large Rodanaction figure released by Mattel in 1979; it was only sold in America, and not in Japan. It is now a collector's item in both countries, although particularly in the latter.
Pokémon is a BIG offender of this for the vast majority of merchandise. Sure, the trading card game is still going strong and the games are almost invariably imported (with few exceptions seen in the Video Games section of this trope), but if you want a plush or figure version of your favorite critter, good luck finding anything outside of import stores. Most of the merchandise for the franchise is kept to stores called Pokémon Centers that are exclusive to Japan - after the NYC one closed down to become the Nintendo Store anyway, but even the Pokémon area in said store doesn't have the sheer variety of items found in Japanese Pokémon Centers, much less any themed merchandise they'll sell in Japan from time to time. There's a reason anyone who collects Pokémon merchandise of any kind (type or specific Pokémon) will tell you it is EXPENSIVE to do so.
Many online stores will not ship toys to addresses outside of the country the store is in, and some will even refuse foreign credit cards even if your shipping address is in the country of the very same store. Yeah, forwarding services can alleviate the issues of the former, but the latter... Planning to live in the US for a few months due to a long project from your company? Sorry, you still can't buy from Toys R Us online, among many other online stores.
Good Smile Company, producers of the Figma and Nendoroid figure lines, has yet to distribute their products outside of Japan in any major way, shape, or form, despite the rapidly-growing international fandom for the products.
The trope comes into effect harder for the Wonder Festival releases, which aren't stocked on any import sites short of middlemen. No life-sizedKyubey figure for you!
Recently subverted in that GSC decided to allow international customers to order their summer 2011 WF exclusives (including the aforementioned Kyubey) directly from them, albeit for one week only.
Most of Bandai's collector's toylines (SH Figuarts, Robot Spirits, Myth Cloth, etc.) outside of Asia are this, including the dreaded Tamashii Web Shop exclusive sets, or the Tamashii Festival Expo exclusives. Both require a middleman or an online shop to ship to the US/Europe to buy them.
Subverted recently with Bluefin Distribution, who has made a deal with Bandai to distribute their collector products to Amazon and US hobby shops. The Tamashii Web exclusives still apply, though, except if there's a popular series in the US that the said lines have (e.g. Dragon Ball Z, Power Rangers, etc.)
The Hikonin Sentai Akibaranger SH Figuarts are a no-show from Bluefin due to license problems, which explains the SH Figuarts Red Hawk (which itself a aversion along with the Web exclusive Black Condor) is missing the Jet Winger part.
As of 2011, some North American webstores are blocking Non-US IP addresses from accessing their websites, instead landing them on a cryptic Access Denied page. The latest one to join the fray is Target, who started the blocking in August 2011. Understandable that these stores won't ship overseas in the first place, but still...
When the toy rights to Strawberry Shortcake was taken over by Playmates from Bandai in 2007, SSC toys vanished from Malaysia overnight. This is because unlike Bandai, Playmates didn't have a distributor in Malaysia. Playmates only finally secured a distributor in Malaysia long after they lost the rights to the franchise to Hasbro.
The trope was zig-zagged by Hasbro- Initially, Hasbro's Strawberry Shortcake toys flooded the market. However, later Hasbro Strawberry Shortcake toys aren't available in Malaysia- Hasbro has stopped bringing them in due to poor sales. In reality, this is because the 2009 reboot show isn't available in Malaysia. See, they thought the show was going to Cartoon Network. It went to Boomerang, which isn't available in Malaysia, instead.
Fisher-Price's Little People toys are this to South East Asia since the late 2000s. Apparently, the toys didn't sell well that Mattel SEA decided to stop bringing more in. Didn't help that they didn't bring in the claymation show to rake in support for the toys either.