English actually has the exact same saying "You're not made of sugar, you won't melt."

A lot of people in car dependent regions have forgotten that you can dress for the weather, and that people have been traveling in all sorts of weather for hundreds of thousands of years.

Also, I think some of it is that decent parts of North America are vulnerable to heavy thunderstorms with hail and possible tornadoes, which are very different from the drizzle that Vancouver and Seattle get.