What teams have not won the World Cup?
There are many, many of them.
Only European & South American teams have won the world cup.
South America 9 & Europe 9.
Well, the MontrÃ©al Canadiens for one. Manchester United for another. Likewise the Boston Celtics and the Green Bay Packers. Perhaps the question would be better phrased "Which current CFL teams have not won the Grey Cup?" And the answer to that would be the Ottawa Redblacks, unless you are prepared to credit them with the Grey Cup victories won by the Ottawa Rough Riders.
Brazil were the first team to win the World Cup three times. They won in 1958, 1962 and 1970. In 1970 there were three teams who had won twice, Brazil Uruguay and Italy. The 1970 final between Brazil and Italy saw winners Brazil keep the Jules Rimet trophy for good and a new trophy was made for the next World Cup in 1974.
The Champions Leagues is for soccer clubs and the European Cup of Nations is for international teams. So in the Champions League you would have clubs from various countries playing each other, including clubs from the same country, whereas the European Cup is for the national teams. The Champions League is won by a club and the European Cup of Nations is won by a country.