If you've been to Europe (or Asia, or New Zealand, or Central America, etc), you likely noticed that they don't always bother to refrigerate eggs there. And your immediate thought might be that they're able to do that because their food systems aren't as contaminated as those in the US. But there's more to it than that.
When an egg 'exits' a hen, it is covered in a very thin coating that does a great job keeping bacteria out. However, the membrane comes right off when the egg is washed...and most Americans prefer a nice, clean, washed egg. So washing an egg removes an important barrier against contamination.
But salmonella serotype enteritidis can also infect the bird's ovaries and get inside the egg before it ever forms the membrane. There is a vaccine for hens that helps prevent this from happening, but it's not required in the US (and is used in Britain)
. So again, we need to refrigerate eggs to help mitigate against additional salmonella risk.