The commingling of states with Orthodoxy is a recent (19th century) historical phenomenon known as phyletism, and has to do with the rise of nationalism. This is why you see Macedonian, Greek, Russian, etc. Orthodox churches. Patrick J. Deneen explains how nationalism became a prominent ideology in western culture:
“[There is] an impulse that can be dated back to the beginnings of the
modern era and the rise of the state. Before the latter’s ascent,
memberships in various social settings were overlapping and varied,
ranging from families, neighborhoods, townships, boroughs, regions,
guilds, Church (parish and Catholic), nation, even empire.
The state undermined competing allegiances by demanding primary
allegiance to itself alone, and only secondarily and ‘voluntarily’ to
these preexisting institutions. Such memberships became less and less
‘constitutive.’ Rather, such associations and memberships came to be
viewed as secondary to our primary allegiance to a State that reserves
the right to control, oversee, and define any other institution….
The only liberty that could be recognized was the liberty of
individuals to ‘pursue his or her own ends.’ The ancient rights,
privileges, immunities and liberties of institutions—the Church,
universities, guilds, localities—were redescribed as forms of
oppression. The increased power, even intrusiveness, of the state, was
justified not as a form of oppression, but rather in the name of
liberation of the individual….
During the bloody twentieth century, the Church stood against the
totalitarian ambitions of Fascism and Communism. A third ideology is
clearly flexing its muscles today—threatening to make those victories
of the last century merely Pyrrhic. The totalitarian impulse today is
embedded in the very logic of liberalism, which seeks to expand its
dominion into every aspect of life and against every competitor to its
demand for the exclusive allegiance of individuals. We need to keep
firmly in mind the picture that adorns the Leviathan, and resist our
absorption as individuals into the body of the state by retaining
deep, abiding, and even primary allegiance to family, locality, and
Phyletism is a confusion between church and nation, and was officially condemned by the Ecumenical Patriarch in 1872 (yet the practice still remains and is one of Orthodoxy's main problems).
Despite differing national affiliations, Eastern Orthodox Christians are members of one Church and share the Orthodox faith. These affiliations indicate what language and ecclesiastic jurisdiction the church falls under, but they are still considered to be members of the Eastern Orthodox Church. The respective governments of these nations are not necessarily in charge of these churches, rather they fall under a bishop in that country. Another question on C.SE explains further that Orthodox Christians of different ethnic affiliations share the same faith.