Why did Catholic Societies develop a more artistic, expressive mentality than Protestant ones?

[Wikipedia delenda est]

The premise of your question is incorrect. Like Stallius said, your examples are all over the place and not consistent with reality. In particular, I want to highlight a few specific areas to evince why what you're saying could just as easily be argued the other way.

In the 16th and 17th centuries, Spain, the most fervently Catholic country in Europe, was highly restrained in fashion compared to the rest of the continent. Look at Renaissance or Baroque paintings of Spanish people and you'll notice that they are usually wearing dark, sombre colors that lack many frills or decorative items. The reason for this is simple: in a hyper-religious country (even for the time) like Spain where the clergy wielded great power and influence, worldly pleasures like fancy clothing were discouraged. In contrast to this fashionable modesty, Protestant England was, after France, arguably the capital of foppery in Europe. At least since the Elizabethan era fashionable Englishmen and women embraced flamboyancy like few other Europeans. Of course, this was objected to by the Puritans, but they were in power but briefly and foppery was restored alongside the monarchy. That is not at all to suggest that the Puritans were culturally deficient simply because they scorned high fashion; on the contrary, it is well worth remembering that no less than John Milton and John Bunyan were Puritans.

In art, too, your point can be easily disproven. You mention the nudes of Botticelli, but neglect to consider that in the early 16th century the Lutheran convert Lucas Cranach the Elder was painting a series of intentionally provocative female nudes. It has been argued that this was the artist directly applying Lutheran theology to his art - just as Luther had renounced celibacy and the Catholic view of sex as a sinful necessity, Cranach in his work embraced human sexuality in rebellion of Catholic artistic norms. Traditionally, in Northern European art the body had been portrayed as an object of pity or shame (see the many suffering Christs of Early Netherlandish painting), but the Reformation openly challenged this tradition. The Catholic response to this threat is indicative. At the Council of Trent in 1563, the Church explicitly condemned "lasciviousness" in art. In Spain, meanwhile, nude paintings were outlawed altogether in 1640; it was the only country in Europe with such a law. As late as 1815, Goya was brought before the Inquisition for nudes he had painted decades earlier.

Musically, it is true that in the Renaissance and for much of the Baroque period Italy and France were still the leaders of the continent. However, in the Elizabethan era the English madrigal school was one of the most sought-after in Europe, and a century later Henry Purcell established himself as England's greatest ever composer. The 17th and 18th centuries also saw the rise of Germany as the third great composing country after Italy and France, and its most celebrated composers like Schütz, Pachelbel, Handel, and Bach tended to be Protestants. In fact, Lutheranism already had one of the most prized musical traditions in Christinaity, Luther himself having been a prolific hymnist.

All this is not to say that your observation is totally without value. It has been sometimes remarked upon how under the Borgias Italy had warfare and terror alongside Michelangelo and the Renaissance, while in Switzerland 500 years of peace and democracy produced only the cuckoo clock. While this is more of a political comparison than a religious one, I think you probably had something similar in mind when posing this question. Even so, this related notion that republics produce nothing of cultural value can just as easily be disproven by the fantastic artistic output of the Dutch Golden Age, to give just one example.