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 Given how ‘free market’ and freedom orientated Americans generally are, what stopped that happening there?

States have existed for a very long time in human history. I wonder if this is natural progression?

I’m not taking a position on this. I’m interested in explanations on how the current state came about, given what many Americans have as deeply held principles.

Genuine question. 
 It's the Jews  
 Free market was never popular. Many groups always called for regulations and censorship. Women during the Prohibition era, christians trying to censor movies, video games, corporations sponsoring propaganda to promote manufactured foodstuffs and cigarettes. 

A small minority of Americans (or any other country) was and is libertarian / austrian economics, but it's kinda lame to be one when you understand you won't win by preaching.  
 Regulatory culture is clearly a big part of it. It seems companies are very free market oriented until they reach a certain size and then the only way they can continue to grow is by ensuring a natural competitor can’t exist so power is taught to enable that.

Power dynamics often seem over looked. Which is what makes me wonder if a state is the natural conclusion. You can tear down the walls and start again but do you just get to the same place?

The USA discarded the UK, then became dominant to the point that now folks want to tear it down and start again.

Life’s fun isn’t it. I’m glad I have a shed. 
 That's the main pitfall of popular anarchism. No explanation for what happens when the bad state is destroyed. I believe it's already close to being as good as possible for most people. Economy and state are optimizing dissipative structures that have life cycles. We are probably on the cusp of a new order emerging. I don't know if it's gonna be better for me, but I don't care, because it's more fun to adapt to something unexpected. If you're interested in the bigger picture, look at oil, gas, coal. 

I'd prefer a full collapse, but I doubt it will ever get that fun. Most likely everyone would get ever slightly poorer till the world is like that den in Trainspotting. Over the years, I've learned that human societies are quite slow and resilient to change, and tech like AI is still decades away. 

What's the shed for? 
 First bit should say regulatory capture, not culture. 
 The leading human principle is opportunism 😅