Iceland was colonised from Scandinavia with many Irish taken there as slaves or wives but had no native people. Finland and northern Sweden were inhabited by Finnish ugric descendants who were later incorporated into the Swedish empire in the usual imperial way.

In Europe the last pagan areas were subdued by force or threat of violence, Lithuania finally converted to Catholicism to ally with Christian kingdoms against the Teutonic Knights.

Often it was easier to convert for the benefits of inclusion in the Christian sphere for trade or alliances or as a good way to unite your realms such as with the Russians. Europe was full of established kingdoms with more advanced institutions unlike the new world where much of the land was inhabited by tribes with few states.

In the new world I believe. Misssionary work was very extensive, especially from the Spanish, and often they incorporated imagery of the native cultures and religions, eg Virgin Mary depicted with darker skin, more use of skull or blood iconography. Not to mention massive depopulation due to disease lower the number of people to be converted.