It isn’t even true for the Western world. More like Northwestern Europe and those polities founded by people from those countries. Italy has a high rate of adult unmarried children living at home and it’s definitely part of the West.
As an Italian expat I can assure you it's not because people want to do that, but more due to the economical conjecture. Sure, there might be the odd one that is just "lazy", but p.much anyone you speak to <35 that hasn't left home yet will tell you that moving away from parental house is very high up in their priority, but they just can't afford that.