It's usually not for security but for insulation. External cover with the window behind is the best possible cover against the sun, and it's also good against the cold. It covers sound too.

In my area we use them mostly to keep the sun out. It's getting less effective with climate change so most of my neighbours have been installing air-conditioning as well, at least for the bedroom.

They are not common everywhere in Europe sadly! But they are not just for protection, they are also used instead of thick curtains for darkening the room (my gut feeling tells me that they are more common in the southern European countries).

I worked for a European smarthome company trying to expand into North America, and I put quite a bit of effort into selling the concept to Americans.

External shades and shutters are easier to install, easier to hardwire (no batteries or remotes requires), they save significant energy because they keep the sun outside of the glass, and they can be automated to track the sun throughout the day. Internal motorized shades all suck for the same reason, because they have to be whisper quiet and wireless.

The biggest hurdle is the frequency with which Americans buy and sell homes. Hardwired automated anything is a permanent installation, while every realtor in America will tell you to remove window treatments when selling because buyers might not like the fabric. Europeans tend to live in their homes much longer, and don't buy and sell homes like hermit crabs changing shells.