Well, one good reason is that unemployment rates use most unusual algorithms--such as whether or not people in question are looking
But another possability is that there are other factors involved--and that the existence, or lack thereof, of a welfare state is not the only factor.
Now, you are right in that unemployment rates are determined by the strength of the economy, not the dole, per se. But to be frank...that proves my own point. Take the Roaring '20s, before Hoover's Federal Reserve policies screwed it all up. There was
no welfare state in America, then...and the unemployment rate was...1.8%.
But the fact is...if the dole supplies your needs...what's the incentive to work for a living?