I would imagine it would be difficult to just run to different countries similar to how it's difficult in the real world to just go to another country. Generally, it's a far away travel and if you're a mage on the run getting coin and food would be difficult without raising the brow of many Templar or just mage haters in general.
Along with the whole expensive travel, it's also ridiculously dangerous even for a mage. Monsters roam the roads and bandits hide in the shadows, I doubt even a well trained mage can handle a hoard of wolves alone or bandits with arrows flying around them.
The language is different, we may hear an all English land all translated for us in the convince of the game setting, but starting from scratch in a new country and you can't speak the language and not a penny to your name... yeah I don't think you'll get far.
Even if you do get there, I highly doubt even with a more mage controlled land, it's run by the most powerful and many are possibly corrupted. Caring for the little guy seems like the last thing they would do, and would rather have slaves around. I don't think even small time mages are safe from being controlled, maker forbid if you're an elf mage running there.
It's just not easy to pack up and go to a place.