Another way to phrase your question is "why is the 'Western' in 'Western democracy' a determiner, when the 'English' in 'the English language' is a qualifier.
"Western" and "English" do have a lot in common. They are both proper adjectives. They are both political designations. There doesn't seem to be any reason for English grammar to treat these words differently.
As it happens, English grammar treats them the same. For example, "English grammar" and "the English language" are different, not because "English" is different than "English" but because "grammar" is different than "language".
Many nouns, including "democracy", "grammar" and "language", have both a count and a non-count sense.
When "democracy" is used in its countable sense, it means something like a specific government with a democratic structure. When it's used in it's uncountable sense, it means something like a general collection of guiding principles or a style of governance.
Your model sentence doesn't reference a countable democracy. It remains a general idea, even though it is a specific type of that general idea.
We can easily imagine a similar sentence that does refer to the countable sense of "democracy". When we do, we realize that there are several Western democracies -- several governments using that style of politics.
. . . the liberal values of Western democracies
. . . the liberal values of a Western democracy
In using the countable sense, we need to reference either a plural collection of government or an indefinite, singular, and possibly hypothetical government.
The "Western" in "Western democracy" isn't a determiner. It is merely a qualifier. However, the "democracy" in "Western democracy" is uncountable. The model sentence uses the uncountable sense of the word, even though a countable sense is available.