It's because in the United States (and Canada) Customs and Immigration checks are handled by the same person. So when you land at your first point of entry you have to take care of Immigration (you) and Customs (your baggage) at the same time.

In other jurisdictions like Europe all they take care of when you land is immigration - Customs is taken care of at your final destination... So in that circumstance they can check your bag "all the way."