The Store module is best suited for simple needs. It serves as a base and an example for developpers, on how one can developp an ecommerce module for DNN. With that in mind it tries to integrate to DotNetNuke as well as possible, and leverage existing DNN tools, data and Apis whenever possible. So it makes sense to share the countries list with the core, even tough I perfectly understand there might be use cases where you would prefer it otherwise.

Gilles will consider including any improvement you might add to the code and send him, if that answers a frequent request.