Stoicism would be my guess. Remember emotions are relative - having something bad happen won't necessarily cause as large an emotional response if you are used to bad things happening to you.
that makes sense, the higher the fall; the harder the impact. Related to this, I think the social nets in poorer countries are stronger so the fall isn't as rough.
Inequality is unfair. The more unfairness someone has to put up with the less sensitive they will be to other stressors and perceived unfairness.
This obviously isn't as simple as I'm making out. Individual people will have different stressors. However when we talk large scale I think this simplistic view can be warranted.
Pure speculation but likely reasons could include bad data, traditional societies with lesser pressure to "succeed" and actually developing countries that give opportunities.
However the correlation is not strong enough as evidenced by Egypt and Pakistan.
https://ourworldindata.org/grapher/suicide-rate-vs-income-in...
EDIT: responding to the spurious & not a good fit comments, the correlation in 2015 (the first year with good data) is -0.41 (n=64)