Why do different product-markets record different rates of return if the assumption of competitive markets hold?
Edit: after OP made changes to his question and clarification this answer became less relevant. I am still keeping it here because OP said some parts of it and references are still useful.
There are several reasons why even if all markets were perfect rates of return would not equalize. I will just focus on some major ones.

Many countries have some capital controls in place. This means that even if markets were perfect the rate of return would be prevented to equalize by the lack of capital mobility. In fact assumption of perfect capital mobility is necessary assumption for rate of return equalization between different markets.

If capital is heterogeneous it might not necessary be easily transferable between countries which mean that capital poor countries will get less capital inflows. For example, some capital such as some computer for some production processes such as programming might require skilled workforce. If some country does not have skilled workforce then not all capital from capital rich country will be allowed to flow from capital rich country to capital poor country.

If places differ with aspects such as infrastructure or geography in general rates of returns might be different just due to differences in these factors as they would again prevent equalization of rates of returns and capital flows (for example country with no roads and harbor cannot really sustain any modern industrial complexes).

Note that you have to also take broader view of risk which encompasses also risks of nationalizations, some institutional risks (countries might be expected to adopt worse institutions in future) and so on. Risk should be not viewed as simply just the entrepreneurial risk.


In fact the reasons above is why you get Lucas paradox (see this question). Lucas paradox is the paradox that nowadays we observe that instead of capital flowing from capital rich countries to capital poor countries (which would equalize rates of return), the capital actually flows from capital poor countries to capital rich countries. The arguments above are more formally presented in Montiel (2006), Schularick &amp; Steger(2008), Azémar &amp; Desbordes (2013), Akhtaruzzaman, Hajzler &amp; Owen (2018).
Also note that if you are wondering why the rates of return are different between different places you have to venture outside pure industrial organization to international macroeconomics or international economics. Industrial organization focuses mainly on explaining how firms compete on given market and while many models from IO are heavily used in international economics or international macroeconomics pure IO will not really discuss much differences between rates of returns in different countries. Hence if you want to pursue this topic further you should also have look at some international macro or international economics textbook. Most of these will discuss international capital flows (on which the equalization of rate of return depends) in decent detail.
Furthermore, of course you are right in assuming that many markets are imperfect and that is also why rates of returns are not equalized.