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It's mostly because "that's how the ancestors did it". In many parts of Europe, the system for last names used to be (and still is in some places) something like "son of [father's name]", which wouldn't really make sense to put first in speech. In other cases, things like place names or occupations were used to identify someone, so something like "George the Smith", which would only slowly be formalized into family names and become "George Smith" in the middle ages. The word order was just kept as it was. On the other hand, in China, family names were introduced by imperial decree about 2000 years ago, to facilitate census data and bureaucracy. For that purpose, it makes sense to put them first, as that's how you do it when organizing them into a table. That Chinese practice would have spread to other parts of Asia etc.
To add to this, in Western Europe the name order was formalized by decree during the Napoleonic era. The Napoleonic reforms had long-lasting influence and impact, and it became the established standard in western Europe.