We celebrate Independence Day of our countries. Consequently there are independent nations.
And people are independent too. Being independent is being on one’s own, not leaning on someone for support say monetarily or otherwise. It is good and people should celebrate independence.
Then there is this concept of being free. It is also an adjective. It is more than being independent. A person could be not independent physically, that is, could be confined for years and still be free. Like Nelson Mandela for a famous example.
So, when we say easily, “well… it is a free country” we mean it is a democracy, more than anything hmm?