Hi, I am having the same problem. I have add
Skip Countries, use a comma separated list of the two character ISO country codes
US, CA

These countries (US, CA) are also in the Zone 3 which I have defined as all other countries than GB (Zone 1) or Europe as defined by Royal Mail (Zone 2) and it still offers these from the drop down box when shipping to another address (I have also tried it without these (US, CA) in the Zone 3 section.

Any help much appreciated
Thanks
Tony