As @Netwow states, you do have to have an adv security license. (But my company ONLY sells MX with adv security.)
I'm broadly speaking not a fan of country-based blocking, even though we do it at a few financial customers because it makes their auditors happy. I don't think it's effective in a day and age where anyone can buy a prepaid credit card and spin something up at a cloud provider.
I do think it's effective at accidentally breaking things, especially in the case of some of Microsoft's IP space. Or just preventing access to useful things and increasing the risk of shadow IT.