You exaggerate somewhat - there are only track-gauge changes at the border of Spain, former Soviet-Union (Moldova, Ukraine, Lithuania) and Finland (way up north…) Also some narrow-gauge mountain railways. Often you do have to change train at the border due to differing electricity systems (openrailwaymap.org shows both). Anyway many borders are in pretty places in the hills or by the sea, good to see the view and get some fresh air. For a really comprehensive exploration of border crossings check out Jon Worth’s site