I created a zone that includes every country in the world *except* Japan. (Believe me, I didn't want to do it this way, but it seems the only way to presently exclude a single country from using a coupon.) Anyway...
I then have a coupon that I want to be valid for all of those countries (thereby excluding Japan). So in the Coupon Admin, that coupon has my "exclude Japan" zone selected.
I have created a test customer with an address in Japan.
During checkout, on the checkout_payment page, if I enter the coupon code and purposely do not tick the "terms and conditions" checkbox (so that it keeps me on that page), it will tell me that "The coupon code you entered is not valid for the address you have selected." Which is correct.
However, if I enter all the information again and tick the "terms and conditions" checkbox so that I proceed to the next page (checkout_confirmation), it accepts the discount coupon! (and says "Congratulations, you have redeemed the Discount Coupon.")



