As a non-employee of Amazon or Kindle, I think I can help answer this question for non-US residents (I lived in Paris for six years so I understand their frustrations).
One answer is that they use Sprint to download books, which is only available in the US. This is one of the main features of the Kindle over all other ebook readers, and it is truly a wonderful feature.
Another answer is that many of the publishers whose works they are offering do not permit Kindle to sell them abroad, as they often have contracts with vendors in those other countries who do not want to see competition coming from the US.
A third answer is payment. It is true that you can use a credit card issued in another country for payment of a US bill, but it imposes some overhead on their operations, which being brand new most likely doesn't have full support for such things yet, including the problems of currency conversions.