Custom field Country

Hello,

I have problem with custom field "Country". Maybe I something miss or not add... this is reason why I ask you what must to do..
I add custom field Country on profile settings (attachment 1).
After saving and editing profile I cant select any country... Why?
I see that when edit this custom field, there is row "Data source" - I left selected "Regions Database" - maybe is something with this data source? There is also for select "File" but I dont know what this means.
I thought that I get automatically list of countries... So.. how I can get list of countries?

Best regards