If you set the country address field for a branch, that text will be sent to HEA as the country where the branch is - but this is not useful for HEA, where the country statistics will get splintered between english-language name of the country vs localized name for the country.
Sort-of tangentially relevant is also bug 20281
I moved it to the hea-ws project. I will handle that server-side. https://gitlab.com/koha-community/hea-ws/issues/1