I'm not sure if people notice, but Sony's first party has never really had 4mil+ selling games since the PS1, with the exception of their GT franchise. Putting America at fault for "PS3 hate" doesn't make too much sense, especially when looking at CoD4's sales (in case any one of the claims were serious).
Okay, as for my theory why KZ2 didn't sell - appeal. The game was simply too complex for the majority of gamers. The story isn't very clear from what is seen from ads. There's the sluggish feel of control that many complained about (contributed to my disinterest, felt unnatural). In fact, what GG said about it says at all: "Killzone 2 is a weighty, slower, more tactical first person experience that focuses on immersion... It is not a twitchy, split-second gun-wielding experience like some shooters." Perhaps more people want a twitchy, split-second gun-wielding experience?
There's just no unique hook to the game. Take a look at the other (high production, critically acclaimed) shooters that got massive:
Halo - best console split screen experience since Goldeneye, vehicles, epic battles in campaign (and a catchy theme song)!
Gears - Gritty, "badass" (executions, swearing, art style), third-person shooter.
Modern Warfare - Counter-Strike's potential finally realized on consoles! (Easiest one to relate to, hence the highest sales)
Whatever Killzone 2 tried to be did not have the widespread appeal as the above 3 did, and I don't think advertisements or a changed release date would have made it a 4mil+ seller. No offense to those who like the game, it just isn't as accessible. It's the same story with Super Mario Galaxy 1/2, which will be slaughtered by NSMB in sales.