What is this phenomenon called?
Is it common in all English-speaking countries?
The omission of conjunctions is officially called asyndeton. Greek deo = "to tie, to bind" (just like Latin iungo in conjunction); syn = "together (with)"; a = "non-". A syndeton is a conjunction; asyndeton is "non-conjunction". That is what the omission of conjunctions for rhetorical effect or otherwise has been called since Antiquity.
I believe it is quite common in most European languages, both in headlines for brevity and in literature as a figure of speech. It can also be a natural and quite neutral feature of ordinary texts, with hardly any special effect. You will find it in speech as well.
Headlines, like speech, tweets, and book titles, are often not made of full, grammatical sentences. It's a method of saving space while retaining readability; the "and" is usually replaced by a comma, as in "Site Answers Questions about Cooking, English, Gaming".