A question I have is why you think goose stepping is only done by dictatorial governments, a simple wikipedia search (I know, frowned upon but I think applicable in this case) shows that the goose step is currently performed in military parades by over 50 countries

http://en.wikipedia.org/wiki/Goose_step#Current_adoption

It also adresses directly your question of association with dictatorships.

The goose step is hard to perform correctly and is very training intensive, which is why it was adopted to show that troops are well trained and drilled.

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