That's what you need to do, for example for the USA it's normally the differences between say "USA", "United States", "United States of America" and so on that cause problems. But just select the correct one from the drop down and click submit and they should all be updated to the correct version.
It seems you have no country there - the list is the choices it can be mapped to. Have you edited any of the country names in the admin countries page?
As there's no country listed to the left to map I'm wondering if you have a client login account where the country is blank - that shouldn't of course happen but it would explain why you are getting the message.