Good point, which gets back to my earlier point about “X=Y.” The more a chunk of words acquires idiomaticity, the closer it gets to being a lexical unit. Often hyphens get inserted to show that, with adjectives such as matter-of-fact, down-to-earth, once-in-a-lifetime, etc. If another language can express one of these ideas with one word (or a simple compound), does that necessarily mean it “doesn’t translate” into English? Another language might be able to convey the particular connotation of these terms with a single word (and obviously English has single word synonyms, for them, too), but that doesn’t necessarily mean they “don’t translate.”
Probably schadenfreude, literally “harm-joy,” attracts so much attention because it’s an elliptical and implicative way to say “joy-at-harm-to-others”. But “harm-joy” might easily have become an English equivalent, if German and English-language cultures didn’t have so much interaction. It wouldn’t be much different from terms like blood lust, etc.
In other words, it could easily have been “translated”–that is, we could have derived a simple term for it–but for whatever reason we use the original–which, as Waymore hints, is another story.