The way the constitutions work is very different. Most of all the head of state in almost all parliamentary systems is politically neutral - in ones with a constitutional monarch (the UK, Canada, Netherlands, etc) - they are so neutral they're not even elected and not really meant to ever express their personal political views in public as a result.
The head of state (president, monarch) is separate from the head of government (prime minister, chancellor, etc), with all the government usually made up of politicians in the parliament, and the governemt is directly accountable to it and can much more easily be changed than in the US, so something politically dicey is often harder to pass.
Vetoing a legislation therefore becomes a nuclear option that shouldn't ever be needed if everyone else (MPs etc) even occasionally do their job.
In monarchies, the monarch vetoing a bill without being instructed by the government would probably see the abolition of the monarchy since it violates political neutrality.
In the UK the last time a monarch vetoed a bill was in about 1710, and even then was only because the government changed its mind and asked for it.
