@TamparaDoraif u notice then in your list there are many items which are not linked to correct Parent (highlighted in yellow in below screen print..... and that's the same error you encountered during load also)..... as@Misbahalso mentioned that you have to map Parent (whilst mapping) with Country Code rather Country Name... please clear your list and map the correct ones whilst reloading.
Only US worked because US (as a text) must be in Name and Code columns. Hope you got the expected responses!