There are many confounding factors there. Countries with government-provided healthcare also have many other differences that contribute positively or negatively to entrepreneurship.
It isn't, and it is a known enigma. That said, I'm inclined to think our entrepreneurship rates would be even higher in this country if we had a non-employer based health care scheme. I base this on the anecdata of having met easily dozens of people over the years who wished to be entrepreneurs but stayed in job because of the health care benefits. Would love to see further studies of this correlation between health care costs + entrepreneurship.