This might be subject for discussion, whether it's a ZC bug or not etc.

But if someone translated the Country names under 'Locations / Taxes -> Countries' it will fail on a PayPal payment, because PayPal doesn't recognize the Country.

Thus it would be better and safer to use the ISO Codes in communication with PayPal server.

Why would someone translate the names you might like to ask ...
Well simply because if rest of the shop is translated it looks weird to have the country name in English. And hopefully they will be dynamically translated in v2 ... ;)