There is freedom of religion. You are free to believe whatever you want. Forced conversions are absolutely illegal in Islam.
Saudi Arabia contains the Holy Land. The Hijaz area (Mecca, Medina, etc) is off limits to non Muslims. As such, that is why other religions are prohibited there. But not all of Saudi Arabia is holy. There are Christians there. But Saudi Arabia has a strict literal interpretation of sharia, so they are much harsher in their laws against other religions being able to exist. They are called "Wahabi". All other Islamic nations that I know of allow other religions to exist.
Proselytize of other religions is I believed illegal in Sharia. Whereas we allow the freedom of religion, it is an Islamic state. Trying to get people away from Islam is considered treason and dangerous to the state. As such it is illegal. But hardly any Muslim nations actually believe this interpretation. But they still frown upon it (as do Christians when Muslims give out free Qur'ans).
Hope I helped
Salaam