I don't think we need to point out in which countries there are city police and not. Just because a word exists in Japanese doesn't mean 
it's necessarily used to describe something that exists currently in Japan (obviously) so I don't think that's an implication we really 
have to deal with. I think the entry looks good as it is now.

Might be better to have it at jmnedict then, because there's also a state military police and I think that wording you suggested would be confusing. Also, I'm sure the concept of city police doesn't restrict itself to America. The bit between parentheses should go IMO.

@@ -12 +12 @@
-<gloss>city police (USA, formerly in Japan)</gloss>
+<gloss>city police</gloss>
@@ -14 +13,0 @@
-<gloss>state police (Brazil)</gloss>

Daijr, ルミナス, etc.

A bit messy. The term is used for the old Japanese system and the current US system(s). Based on the description I'd say "state police" is the better English translation for the Brazilian systens. If the capitals are needed, it should move to the names dictionary, although I gather there is one in each state.

@@ -12 +12 @@
-<gloss>city police</gloss>
+<gloss>city police (USA, formerly in Japan)</gloss>
@@ -14,4 +14 @@
-</sense>
-<sense>
-<pos>&n;</pos>
-<gloss>Civil Police (Brazil)</gloss>
+<gloss>state police (Brazil)</gloss>

https://www.nikkeyshimbun.jp/?s=市警

In Brazil this actually refers to a specific organization which is actually under the control of the state, not the city. The 市 here is likely a contraction of 市民.

@@ -14,0 +15,4 @@
+<sense>
+<pos>&n;</pos>
+<gloss>Civil Police (Brazil)</gloss>
+</sense>

市警	117250
Daijr, ルミナス