Again, because the data for those other country names in the database are not utf-8ish. By that I mean they are neither utf-8 nor utf-8mb4, which are the two encodings typically used now by zen Cart.
As previously stated, these could be updated through one or more sql statements. Either the errant entries get converted or a separate query is run to update the data in the database with utf-8ish entry. This can be done via tools, install sql patches.
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