When I was considering it here in Germany my tax advisor told me a UG[0] will mean a lot more bookkeeping and associated higher costs compared to remaining a sole proprietorship & that it will practically not likely to have any benefit in my case[1].
I can imagine less bureaucratic countries like the US & UK impose less of an overhead tho. For the life of me I can't understand why the German authorities are so resistant to entrepreneurship.
"Personal liability" is an overly broad term. In the EU a single baseless lawsuit does not bankrupt you, so if you feel you have your finances under control, it might turn out that sole proprietorship is not a problem at all.
This is what I meant by "liability problems are much less of an issue in the EU".