> Experience limited to Ontario and every province east of it.
In that case I'll chip in with my experience with every province west of it: it's the same. No shoes inside - ffs the prairies have snow on the ground half the year.
Most American houses where I live have mud rooms. I think you may be generalizing based on house design. New Englanders certainly do; Ranches do not. Split-Levels have a landing that are used as a mud room.
I think they are common in the midwest? Wherever it snows a lot, you'll have a mud room to change from outside to inside clothes. If you are somewhere that doesn't snow, you might not ever realize those kinds of rooms exist.
As a Canadian, I think every household I've been in you take your shoes off at the door. Experience limited to Ontario and every province east of it.